Variance Reduction for Asian Options under a General Model Framework

We present a new variance reduction method for Asian options under a general model framework. The three special cases we consider are Levy processes, Heston stochastic volatility, and regime switching models. The proposed method combines a very effective control variate with conditional Monte Carlo....

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Veröffentlicht in:	Review of Finance 2015-03, Vol.19 (2), p.907-949
Hauptverfasser:	Dingeç, Kemal Dinçer, Sak, Halis, Hörmann, Wolfgang
Format:	Artikel
Sprache:	eng
Schlagworte:	Monte Carlo simulation Stochastic models Stock options Studies Volatility
Online-Zugang:	Volltext
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