| 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 | 27-四月-2020 15:59:11 (UTC+8) | - |
| dc.date.available | 27-四月-2020 15:59:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 27-四月-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 | |
