An effective hybrid variance reduction method for pricing the Asian options and its variants

Autor:	Yi-Hsi Lee, Chiung-Ju Liang, King-Jeng Lu, Ming-Hua Hsieh
Rok vydání:	2020
Předmět:	Economics and Econometrics 050208 finance 05 social sciences Control variates 0502 economics and business Econometrics Asian option Variance reduction 050207 economics Volatility (finance) Moneyness Finance Importance sampling Mathematics
Zdroj:	The North American Journal of Economics and Finance. 51:100961
ISSN:	1062-9408
DOI:	10.1016/j.najef.2019.04.004
Popis:	In this paper, we propose a variance reduction method that combines importance sampling and control variates to price European Arithmetic Asian options and its variants (i.e., Asian options plus knock-in or knock-out options) under the Black-Scholes model. The numerical results show that the proposed methods are especially efficient under the following scenarios: in the money, low volatility, more sampling dates, and higher barrier thresholds.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::7f47cafec4d5c4fd9b73a02007729e4c https://doi.org/10.1016/j.najef.2019.04.004 Zobrazit plný text záznamu Full Text from ScienceDirect