Desmettre, Sascha; Wenzel, Jörg - In: Applied mathematical finance 28 (2021) 6, pp. 508-533
In this paper, we are concerned with the Monte Carlo valuation of discretely sampled arithmetic and geometric average options in the Black-Scholes model and the stochastic volatility model of Heston in high volatility environments. To this end, we examine the limits and convergence rates of...