A new hybrid Monte Carlo simulation for Asian options pricing

DOI10.1080/00949655.2013.827681zbMath1458.91228OpenAlexW2169398107MaRDI QIDQ5220733

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

Brownian bridgeMonte Carlo simulationvariance reductionantithetic variatesarithmetic Asian optionsmultiple control variates

Mathematics Subject Classification ID

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

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Digital barrier options pricing: an improved Monte Carlo algorithm ⋮ An efficient algorithm for pricing reinsurance contract under the regime-switching model ⋮ A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model ⋮ Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

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