An Effective Hybrid Variance Reduction Method for Pricing the Asian Options and its Variants | Publication

Title	An Effective Hybrid Variance Reduction Method for Pricing the Asian Options and its Variants
Creator	謝明華 Ming-Hua Hsieh Liang, Chiung-Ju Lee, Yi-Hsi Lu, King-Jeng
Contributor	風管系
Key Words	Asian options ; Barrier options ; Variance reduction ; Importance sampling ; Control variates
Date	2019-04
Date Issued	27-Apr-2020 15:59:11 (UTC+8)
Summary	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.
Relation	The North American Journal of Economics and Finance, 51
Type	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