Pricing Asian Options using Monte Carlo Methods
نویسندگان
چکیده
Asian options are of particular importance for commodity products which have low trading volumes (e.g. crude oil), since price manipulation is inhibited. Hence, the pricing of such options becomes one of the most interesting fields. Since there are no known closed form analytical solutions to arithmetic average Asian options, many numerical methods are applied. This paper deals with pricing of arithmetic average Asian options with the help of Monte Carlo methods. We also investigate ways to improve the precision of the simulation estimates through the variation reduction techniques: the control variate and the antithetic variate methods. We then compare the results from these two methods.
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