An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting

DOI10.1080/00207160.2019.1577399OpenAlexW2913059450WikidataQ128445692 ScholiaQ128445692MaRDI QIDQ5031764

Feng Yang, Yong-Chao Sun, Cheng-long Xu

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2019.1577399

zbMATH Keywords

importance samplingAsian optionscontrol variatevariance gamma processconditional Monte Carlo methodmoments match

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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