Exact retrospective Monte Carlo computation of arithmetic average Asian options

DOI10.1515/mcma.2007.008zbMath1192.91178arXiv0704.1433OpenAlexW2123232459MaRDI QIDQ5421246

Mohamed Karim Sbai, Benjamin Jourdain

Publication date: 22 October 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1433

zbMATH Keywords

Black-Scholes frameworkPoisson estimatorarithmetic average Asian options

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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