Multilevel Monte Carlo for Asian options and limit theorems

DOI10.1515/MCMA-2013-0025zbMath1302.91194OpenAlexW2164947498MaRDI QIDQ742078

Mohamed Ben Alaya, Ahmed Kebaier

Publication date: 17 September 2014

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

Full work available at URL: https://doi.org/10.1515/mcma-2013-0025

zbMATH Keywords

central limit theoremfinanceAsian optionsmultilevel Monte Carlo methods

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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