A new hybrid Monte Carlo simulation for Asian options pricing

F Mehrdoust - Journal of Statistical Computation and Simulation, 2015 - Taylor & Francis
The aim of this paper is to present a new hybrid algorithm for pricing financial derivatives in
the arithmetic Asian options. In this paper, two variance reduction techniques are combined …
被引用次数：26 相关文章

[引用][C] A new hybrid Monte Carlo simulation for Asian options pricing

F Mehrdoust - Journal of Statistical Computation and …, 2015 - ingentaconnect.com
The aim of this paper is to present a new hybrid algorithm for pricing financial derivatives in
the arithmetic Asian options. In this paper, two variance reduction techniques are combined …