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Variance analysis of control variate technique and applications in Asian option pricing
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نویسنده
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Fathi Vajargah B. ,Salimipour A. ,Salahshour S.
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منبع
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international journal of industrial mathematics - 2016 - دوره : 8 - شماره : 1 - صفحه:65 -71
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چکیده
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This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic asian options as a financial derivatives. in this paper, the effect of correlation between two random variables is shown. we propose an efficient method for choose suitable control in pricing arithmetic asian options based on the control variates (cv). the numerical experiment shows the productivity of the proposed method
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کلیدواژه
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Monte Carlo simulation; Arithmetic Asian options; Variance reduction technique; Control variates; Correlation
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آدرس
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university of guilan, Faculty of Mathematical Science, Department of Statistics, ایران, university of guilan, Faculty of Mathematical Science, Department of Applied Mathematics, ایران, Islamic Azad University, Mobarakeh Branch, Young Researchers and Elite Club, ایران
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Authors
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