A new hybrid Monte Carlo simulation for Asian options pricing
DOI10.1080/00949655.2013.827681zbMATH Open1458.91228OpenAlexW2169398107MaRDI QIDQ5220733FDOQ5220733
Authors: Farshid Mehrdoust 
Publication date: 27 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2013.827681
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variance reductionMonte Carlo simulationBrownian bridgeantithetic variatesarithmetic Asian optionsmultiple control variates
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- The value of an Asian option
- Robust Statistics
- A general control variate method for option pricing under Lévy processes
- Title not available (Why is that?)
- Efficient Monte Carlo simulation of security prices
- Title not available (Why is that?)
- A reliable numerical method to price arithmetic Asian options
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
- Sequential Monte Carlo methods for option pricing
- Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
- Efficient pricing of discrete Asian options
- An efficient control variate method for pricing variance derivatives
Cited In (15)
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- A fast pricing algorithm for the arithmetic average half-Asian option
- An efficient algorithm for pricing reinsurance contract under the regime-switching model
- Monte Carlo simulation pricing for algorithm average Asian option under the stochastic volatility model
- New acceleration schemes with the asymptotic expansion in Monte Carlo simulation
- Multilevel Monte Carlo for Asian options and limit theorems
- A new control variate estimator for an Asian option
- Exact retrospective Monte Carlo computation of arithmetic average Asian options
- Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
- Monte Carlo acceleration methods for pricing Asian options in high performance computation
- Digital barrier options pricing: an improved Monte Carlo algorithm
- Variance reduction for Asian options under a general model framework
- A new multiple control variate estimator for Asian options
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