A new control variate estimator for an Asian option
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Publication:2431779
DOI10.1007/s10690-006-9007-8zbMath1189.91208OpenAlexW2031530132MaRDI QIDQ2431779
Takeaki Kariya, Regina Y. Liu, Kenji Kamizono, Teruo Nakatsuma
Publication date: 24 October 2006
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-006-9007-8
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
On the Valuation of Discrete Asian Options in High Volatility Environments ⋮ Pricing Asian options with stochastic volatility ⋮ Valuation of a repriceable executive stock option
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