Simulation methods for valuing Asian option prices in a hyperbolic asset price model

DOI10.1093/IMAMAN/14.1.65zbMath1073.91033OpenAlexW2094687317MaRDI QIDQ4811568

Martin Predota, Jürgen Hartinger

Publication date: 6 September 2004

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/14.1.65

zbMATH Keywords

importance samplingquasi-Monte Carlo

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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