A new hybrid Monte Carlo simulation for Asian options pricing

DOI10.1080/00949655.2013.827681MaRDI QIDQ5220733zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

antithetic variatesarithmetic Asian optionsBrownian bridgeMonte Carlo simulationmultiple control variatesvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• 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
• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• 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)

• Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
• Digital barrier options pricing: an improved Monte Carlo algorithm
• A new control variate estimator for an Asian option
• Monte Carlo simulation pricing for algorithm average Asian option under the stochastic volatility model
• A new multiple control variate estimator for Asian options
• Variance reduction for Asian options under a general model framework
• A fast pricing algorithm for the arithmetic average half-Asian option
• An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
• 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
• Exact retrospective Monte Carlo computation of arithmetic average Asian options
• New acceleration schemes with the asymptotic expansion in Monte Carlo simulation
• An efficient algorithm for pricing reinsurance contract under the regime-switching model
• Multilevel Monte Carlo for Asian options and limit theorems

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