A new hybrid Monte Carlo simulation for Asian options pricing
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Publication:5220733
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Cites work
- scientific article; zbMATH DE number 3841285 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- A general control variate method for option pricing under Lévy processes
- A reliable numerical method to price arithmetic Asian options
- An efficient control variate method for pricing variance derivatives
- Efficient Monte Carlo simulation of security prices
- Efficient pricing of discrete Asian options
- New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
- Robust Statistics
- Sequential Monte Carlo methods for option pricing
- The value of an Asian option
- Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
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
- Monte Carlo simulation pricing for algorithm average Asian option under the stochastic volatility model
- An efficient algorithm for pricing reinsurance contract under the regime-switching 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
- Digital barrier options pricing: an improved Monte Carlo algorithm
- Monte Carlo acceleration methods for pricing Asian options in high performance computation
- Variance reduction for Asian options under a general model framework
- A new multiple control variate estimator for Asian options
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