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 …

Asian options are of particular importance for commodity products which have low trading
volumes (eg crude oil), since price manipulation is inhibited. Hence, the pricing of such …

Taking advantage of the recent literature on exact simulation algorithms (Beskos,
Papaspiliopoulos and Roberts [A. Beskos, O. Papaspiliopoulos, and Gareth O. Roberts …

This paper presents an analytical view of variance reduction by control variate technique for
pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of …

We design and analyze two numerical methods for pricing Asian options. The first one is an
explicit finite difference method and therefore, as usual, only conditionally stable. The …

Background This article investigates the Least-Squares Monte Carlo Method by using
different polynomial basis in American Asian Options pricing. The standard approach in the …

Financial derivatives have developed rapidly over the past few decades due to their risk-
averse nature, with options being the preferred financial derivatives due to their flexible …

Monte Carlo simulation techniques that use function approximations have been successfully
applied to approximately price multi-dimensional American options. However, for many …

In this paper we investigate the control variate Monte Carlo method for pricing some multi-
asset options with the stochastic volatility model. First several multi-asset options are priced …

American option pricing is a challenging problem in financial mathematics for which several
approaches have been proposed in the last few years. In this paper, we consider the …