论文信息 - Competitive Monte Carlo methods for the pricing of Asian options

Competitive Monte Carlo methods for the pricing of Asian options

We explain how a carefully chosen scheme can lead to competitive Monte Carlo algorithms for the computation of the price of Asian options. We give evidence of the efficiency of these algorithms with a mathematical study of the rate of convergence and a numerical comparison with some existing methods.

B Lapeyre | E Temam | B. Lapeyre | E. Temam

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