{"title":"AN EFFICIENT VARIANCE REDUCTION-BASED SIMULATION ALGORITHM FOR PRICING ARITHMETIC ASIAN OPTIONS","authors":"F. Mehrdoust, Idin Noorani","doi":"10.1142/s2010495220500013","DOIUrl":null,"url":null,"abstract":"This paper proposes a new hybrid algorithm to price the arithmetic Asian options under the geometric Brownian motion (GBM). The proposed algorithm is based on the control variate technique, such th...","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":"15 1","pages":"2050001"},"PeriodicalIF":2.0000,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1142/s2010495220500013","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/s2010495220500013","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 2
Abstract
This paper proposes a new hybrid algorithm to price the arithmetic Asian options under the geometric Brownian motion (GBM). The proposed algorithm is based on the control variate technique, such th...
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