A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model

DOI10.1016/j.matcom.2020.09.011OpenAlexW3087423436MaRDI QIDQ1998282

Farshid Mehrdoust, Abdelaziz Nasroallah, Idin Noorani

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2020.09.011

zbMATH Keywords

Monte-Carlo simulationregime switching modelsvariance reduction methodsAsian option pricing

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Actuarial science and mathematical finance (91Gxx)

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