Monte Carlo acceleration methods for pricing Asian options in high performance computation

DOI10.3969/J.ISSN.0253-374X.2013.05.027zbMATH Open1289.91186MaRDI QIDQ5398763FDOQ5398763

Authors: Guangxin Jiang, Dazhi Kou, Chenglong Xu, Lei Xu 

Publication date: 28 February 2014

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zbMATH Keywords

control variateMonte Carlo methodstochastic volatilityAsian options

Mathematics Subject Classification ID

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

Cited In (12)

• Parallel Monte Carlo method for pricing Asian options using trapezium scheme
• An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Implementation of the least squares Monte Carlo American option pricing on GPU
• Title not available (Why is that?)
• Conditional Monte Carlo hybrid acceleration method under stochastic interest rate model and its applications
• A new hybrid Monte Carlo simulation for Asian options pricing
• A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
• Multilevel Monte Carlo for Asian options and limit theorems
• FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES
• An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
• A fast Monte Carlo scheme for additive processes and option pricing

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