Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/129503
DC Field | Value | Language |
---|---|---|
dc.contributor | 風管系 | |
dc.creator | 謝明華 | |
dc.creator | Ming-Hua Hsieh | |
dc.creator | Liang, Chiung-Ju | |
dc.creator | Lee, Yi-Hsi | |
dc.creator | Lu, King-Jeng | |
dc.date | 2019-04 | |
dc.date.accessioned | 2020-04-27T07:59:11Z | - |
dc.date.available | 2020-04-27T07:59:11Z | - |
dc.date.issued | 2020-04-27T07:59:11Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/129503 | - |
dc.description.abstract | 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. | |
dc.format.extent | 996250 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | The North American Journal of Economics and Finance, 51 | |
dc.subject | Asian options ; Barrier options ; Variance reduction ; Importance sampling ; Control variates | |
dc.title | An Effective Hybrid Variance Reduction Method for Pricing the Asian Options and its Variants | |
dc.type | article | |
dc.identifier.doi | 10.1016/j.najef.2019.04.004 | |
dc.doi.uri | https://doi.org/10.1016/j.najef.2019.04.004 | |
item.fulltext | With Fulltext | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | restricted | - |
Appears in Collections: | 期刊論文 |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.