Variance reduction for Asian options under a general model framework

DOI10.1093/ROF/RFU005MaRDI QIDQ4554735zbMATH OpenOpenAlexFDO

Authors Kemal Dinçer Dingeç, Halis Sak, Wolfgang Hörmann

Publication date 9 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfu005

zbMATH Keywords

Asian optionsHeston stochastic volatilityLévy processesregime switching modelsvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options
• A general control variate method for Lévy models in finance
• On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
• A new control variate estimator for an Asian option
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• A new multiple control variate estimator for Asian options
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• Local Vega Index and Variance Reduction Methods
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
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• Variance reduction for Monte Carlo simulation in a stochastic volatility environment
• Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
• An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
• Least-square-based control variate method for pricing options under general factor models
• On the valuation of discrete Asian options in high volatility environments
• A new hybrid Monte Carlo simulation for Asian options pricing
• Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
• Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps

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