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題名: | An Effective Hybrid Variance Reduction Method for Pricing the Asian Options and its Variants | 作者: | 謝明華 Ming-Hua Hsieh Liang, Chiung-Ju Lee, Yi-Hsi Lu, King-Jeng |
貢獻者: | 風管系 | 關鍵詞: | Asian options ; Barrier options ; Variance reduction ; Importance sampling ; Control variates | 日期: | Apr-2019 | 上傳時間: | 27-Apr-2020 | 摘要: | In this paper, we propose a variance reduction method that combines importance sampling and control variates to price European Arithmetic Asian options and its variants (i.e., Asian options plus knock-in or knock-out options) under the Black-Scholes model. The numerical results show that the proposed methods are especially efficient under the following scenarios: in the money, low volatility, more sampling dates, and higher barrier thresholds. | 關聯: | The North American Journal of Economics and Finance, 51 | 資料類型: | article | DOI: | https://doi.org/10.1016/j.najef.2019.04.004 |
Appears in Collections: | 期刊論文 |
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