Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
نویسندگان
چکیده
منابع مشابه
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa [1]. Efficient path-generation algorithms, such as Linear Trans...
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Abstract In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give the Greeks for our proposed methods. ...
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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 ...
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Monte Carlo simulation is a widely used tool in finance for computing the prices of options as well as their price sensitivities, which are known as Greeks. The disadvantage of the Monte Carlo simulation, in its standard form, is its slow convergence rate. In the first part of this thesis, we review several methods that they have been proposed, in order to improve the convergence rate of Monte ...
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ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2011
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-011-9228-9