A New Control Variate Estimator for an Asian Option
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References listed on IDEAS
- Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
- Hua He & Akihiko Takahashi, 2000.
"A Variable Reduction Technique for Pricing Average-rate Options,"
International Review of Finance,
International Review of Finance Ltd., vol. 1(2), pages 123-142.
- Hua He and Akihiko Takahashi., 1995. "A Variable Reduction Technique for Pricing Average-Rate Options," Research Program in Finance Working Papers RPF-249, University of California at Berkeley.
- Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 377-389, September.
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Keywordscontrol variate estimator; variance reduction technique; Monte-Carlo simulation option pricing;
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