An effective hybrid variance reduction method for pricing the Asian options and its variants
King-Jeng Lu, Chiung-Ju Liang, Ming-Hua Hsieh, Yi-Hsi Lee
| Year of publication: |
2020
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|---|---|
| Authors: | Lu, King-Jeng ; Liang, Chiung-Ju ; Hsieh, Ming-Hua ; Lee, Yi-Hsi |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 51.2020, p. 1-7
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| Subject: | Asian options | Barrier options | Control variates | Importance sampling | Variance reduction | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Asien | Asia | Stichprobenerhebung | Sampling | Varianzanalyse | Analysis of variance | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.04.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012659091