variance analysis of control variate technique and applications in asian option pricing
نویسندگان
چکیده
this paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic asian options as a financial derivatives. in this paper, the effect of correlation between two random variables is shown. we propose an efficient method for choose suitable control in pricing arithmetic asian options based on the control variates (cv). the numerical experiment shows the productivity of the proposed method.
منابع مشابه
Variance analysis of control variate technique and applications in Asian option pricing
This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of correlation between two random variables is shown. We propose an efficient method for choose suitable control in pricing arithmetic Asian options based on the control variates (CV). The numerical experiment shows ...
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عنوان ژورنال:
international journal of industrial mathematicsناشر: science and research branch, islamic azad university, tehran, iran
ISSN 2008-5621
دوره 8
شماره 1 2014
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