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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 2019-04
上傳時間 27-Apr-2020 15:59:11 (UTC+8)
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
dc.contributor 風管系
dc.creator (作者) 謝明華
dc.creator (作者) Ming-Hua Hsieh
dc.creator (作者) Liang, Chiung-Ju
dc.creator (作者) Lee, Yi-Hsi
dc.creator (作者) Lu, King-Jeng
dc.date (日期) 2019-04
dc.date.accessioned 27-Apr-2020 15:59:11 (UTC+8)-
dc.date.available 27-Apr-2020 15:59:11 (UTC+8)-
dc.date.issued (上傳時間) 27-Apr-2020 15:59:11 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/129503-
dc.description.abstract (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.
dc.format.extent 996250 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) The North American Journal of Economics and Finance, 51
dc.subject (關鍵詞) Asian options ; Barrier options ; Variance reduction ; Importance sampling ; Control variates
dc.title (題名) An Effective Hybrid Variance Reduction Method for Pricing the Asian Options and its Variants
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.najef.2019.04.004
dc.doi.uri (DOI) https://doi.org/10.1016/j.najef.2019.04.004