Pricing and hedging Asian basket options with quasi-Monte Carlo simulations

DOI10.1007/s11009-011-9228-9zbMath1267.91079arXiv0907.3092OpenAlexW3100732137MaRDI QIDQ1945610

Piergiacomo Sabino, Nicola Cufaro Petroni

Publication date: 8 April 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.3092

zbMATH Keywords

Malliavin calculuscomputational financequasi-Monte Carlo algorithmsAsian basket optionspricing and hedging options

Mathematics Subject Classification ID

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

Related Items (5)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ A hybrid Monte Carlo acceleration method of pricing basket options based on splitting ⋮ Short maturity conditional Asian options in local volatility models ⋮ Multidimensional quasi-Monte Carlo Malliavin Greeks ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics

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