variance analysis of control variate technique and applications in asian option ‎pricing‎

نویسندگان

b. fathi ‎vajargah‎

a. salimipour‎

s. salahshour‎

چکیده

this paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic asian options as a financial derivatives. in this paper, the effect of correlation between two random variables is shown. we propose an efficient method for choose suitable control in pricing arithmetic asian options based on the control variates (cv). the numerical experiment shows the productivity of the proposed ‎method.‎

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Variance analysis of control variate technique and applications in Asian option ‎pricing‎

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عنوان ژورنال:
international journal of industrial mathematics

ناشر: science and research branch, islamic azad university, tehran, iran

ISSN 2008-5621

دوره 8

شماره 1 2014

میزبانی شده توسط پلتفرم ابری doprax.com

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