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Unbiased simulation of Asian options

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  • Bruno Bouchard
  • Xiaolu Tan

Abstract

We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pertaining for Asian options. In our setting, both the payoff and the SDE's coefficients depend on the (weighted) average of the process or, more precisely, on the integral of the solution to the SDE against a continuous function with bounded variations. In particular, this applies to the numerical resolution of the class of path-dependent PDEs whose regularity, in the sens of Dupire, is studied in Bouchard and Tan [Ann. I.H.P., to appear].

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  • Bruno Bouchard & Xiaolu Tan, 2025. "Unbiased simulation of Asian options," Papers 2504.16349, arXiv.org.
    • Handle: RePEc:arx:papers:2504.16349
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    References listed on IDEAS

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    1. Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
    2. 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.
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