A Variable Reduction Technique for Pricing Average-Rate Options∗
نویسندگان
چکیده
منابع مشابه
Variance analysis of control variate technique and applications in Asian option pricing
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 ...
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