General multilevel Monte Carlo methods for pricing discretely monitored Asian options
Year of publication: |
2020
|
---|---|
Authors: | Kahalé, Nabil |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 287.2020, 2 (1.12.), p. 739-748
|
Subject: | Asian option | Finance | Multilevel Monte Carlo method | Simulation | Variance reduction | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
-
Improved variance reduced Monte-Carlo simulation of in-the-money options
Müller, Armin, (2016)
-
An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options
Mehrdoust, Farshid, (2020)
-
Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi, (2020)
- More ...
-
Sparse calibrations of contingent claims
Kahalé, Nabil, (2010)
-
Model-Independent Lower Bound on Variance Swaps
Kahalé, Nabil, (2011)
-
On the Economic Impact of Social Distancing Measures
Kahalé, Nabil, (2020)
- More ...