Competitive Monte Carlo methods for the pricing of Asian options

Citations

Cited by:

1. Sander Willems, 2018. "Asian Option Pricing with Orthogonal Polynomials," Papers 1802.01307, arXiv.org, revised Sep 2018.
2. Pagès, Gilles & Panloup, Fabien, 2014. "A mixed-step algorithm for the approximation of the stationary regime of a diffusion," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 522-565.
3. Alghalith, Moawia, 2019. "A New Price of the Arithmetic Asian Option: A Simple Formula," MPRA Paper 117047, University Library of Munich, Germany.
4. Gobet, Emmanuel & Miri, Mohammed, 2014. "Weak approximation of averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 475-504.
5. Pagès Gilles, 2007. "Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity," Monte Carlo Methods and Applications, De Gruyter, vol. 13(1), pages 37-70, April.
6. Park, Jong Jun & Jang, Hyun Jin & Jang, Jiwook, 2020. "Pricing arithmetic Asian options under jump diffusion CIR processes," Finance Research Letters, Elsevier, vol. 34(C).
7. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de Opciones Call Asiáticas Promedio Aritmético bajo Movimiento Browniano Logístico," Working Papers 46, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
8. Barty Kengy & Girardeau Pierre & Strugarek Cyrille & Roy Jean-Sébastien, 2008. "Application of kernel-based stochastic gradient algorithms to option pricing," Monte Carlo Methods and Applications, De Gruyter, vol. 14(2), pages 99-127, January.
9. Susana Alvarez Diez & Samuel Baixauli & Luis Eduardo Girón, 2019. "Valoración de opciones call asiáticas Promedio Aritmético usando Taylor Estocástico 1.5," Working Papers 44, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
10. Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
11. Hideharu Funahashi & Masaaki Kijima, 2013. "An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options　," KIER Working Papers 857, Kyoto University, Institute of Economic Research.
12. Alghalith, Moawia, 2019. "The distribution of the average of log-normal variables and exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula," MPRA Paper 105588, University Library of Munich, Germany.
13. Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.
14. Jourdain Benjamin & Sbai Mohamed, 2007. "Exact retrospective Monte Carlo computation of arithmetic average Asian options," Monte Carlo Methods and Applications, De Gruyter, vol. 13(2), pages 135-171, July.
15. Serguei Pergamenchtchikov & Alena Shishkova, 2020. "Hedging problems for Asian options with transactions costs," Papers 2001.01443, arXiv.org.
16. Bendera, Christian & Moseler, Thilo, 2008. "Importance sampling for backward SDEs," CoFE Discussion Papers 08/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
17. Lingling Xu & Hongjie Zhang & Fu Lee Wang, 2023. "Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method," Mathematics, MDPI, vol. 11(3), pages 1-14, January.
18. Lokman A. Abbas-Turki & Ioannis Karatzas & Qinghua Li, 2014. "Impulse Control of a Diffusion with a Change Point," Papers 1404.1761, arXiv.org.
19. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Working Papers hal-00554216, HAL.
    • Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599, arXiv.org.
20. Ning Cai & Steven Kou, 2012. "Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model," Operations Research, INFORMS, vol. 60(1), pages 64-77, February.
21. Chang-Han Rhee & Peter W. Glynn, 2015. "Unbiased Estimation with Square Root Convergence for SDE Models," Operations Research, INFORMS, vol. 63(5), pages 1026-1043, October.
22. Lu, King-Jeng & Liang, Chiung-Ju & Hsieh, Ming-Hua & Lee, Yi-Hsi, 2020. "An effective hybrid variance reduction method for pricing the Asian options and its variants," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
23. Florian Bourgey & Stefano De Marco, 2021. "Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model," Papers 2105.05356, arXiv.org, revised Jun 2022.
24. Silvia Lavagnini, 2021. "Pricing Asian Options with Correlators," Papers 2104.11684, arXiv.org.
25. Ben Alaya Mohamed & Kebaier Ahmed, 2014. "Multilevel Monte Carlo for Asian options and limit theorems," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 181-194, September.
26. Alghalith, Moawia, 2019. "The distribution of the average of log-normal variables and Exact Pricing of the Arithmetic Asian Options: A Simple, closed-form Formula," MPRA Paper 97324, University Library of Munich, Germany.