General multilevel Monte Carlo methods for pricing discretely monitored Asian options
نویسندگان
چکیده
منابع مشابه
Pricing Asian Options using Monte Carlo Methods
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 ...
متن کاملMultilevel Monte Carlo Simulation for Options Pricing
The candidate confirms that the work submitted is their own and the appropriate credit has been given where reference has been made to the work of others. I understand that failure to attribute material which is obtained from another source may be considered as plagiarism. Summary Mathematical models developed to price options pose challenges in producing solutions that can achieve a high level...
متن کاملPricing Discretely Monitored Asian Options under Lévy Processes
We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Lévy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Lévy-stable case. For arithmetic Asian options we solve the valuation problem by recursive integration and derive a rec...
متن کاملMonte Carlo methods for pricing financial options
Pricing financial options is amongst the most important and challenging problems in the modern financial industry. Except in the simplest cases, the prices of options do not have a simple closed form solution and efficient computational methods are needed to determine them. Monte Carlo methods have increasingly become a popular computational tool to price complex financial options, especially w...
متن کاملMultilevel Monte Carlo for Asian options and limit theorems
The purpose of this paper is to study the problem of pricing Asian options using the multilevel Monte Carlo method recently introduced by Giles [8] and to prove a central limit theorem of Lindeberg Feller type for the obtained algorithm. Indeed, the implementation of such a method requires first a discretization of the integral of the payoff process. To do so, we use two well-known second order...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2020
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2020.04.022