Generalized control variate methods for pricing Asian options
نویسندگان
چکیده
منابع مشابه
Generalized Control Variate Methods for Pricing Asian Options
The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes model can be interpreted as a particular selection of linear martingale controls. We generalize the constant control parameter into a control process to gain more reduction on variance. By means of an option price approximation, we construct a martingale control variate m...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2010
ISSN: 1460-1559
DOI: 10.21314/jcf.2010.212