A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
type: Item
instance of: scholarly article
title: A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
author: Idin Noorani
author: Farshid Mehrdoust
author: Abdelaziz Nasroallah
published in: Mathematics and Computers in Simulation
publication date: 2021-03-06T00:00:00Z
Mathematics Subject Classification ID: 91Gxx
Mathematics Subject Classification ID: 90Cxx
zbMATH DE Number: 7318206
zbMATH Keywords: regime switching models
zbMATH Keywords: Asian option pricing
zbMATH Keywords: Monte-Carlo simulation
zbMATH Keywords: variance reduction methods
MaRDI profile type: Publication
full work available at URL: j.matcom.2020.09.011
OpenAlex ID: W3087423436
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DOI: 10.1016/J.MATCOM.2020.09.011
description: scientific article; zbMATH DE number 7318206