Yayınlanmış 1 Ocak 2015 | Sürüm v1
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Variance Reduction for Asian Options under a General Model Framework

  • 1. Bogazici Univ, TR-80815 Bebek, Turkey
  • 2. Yeditepe Univ, Istanbul, Turkey

Açıklama

We present a new variance reduction method for Asian options under a general model framework. The three special cases we consider are L,vy processes, Heston stochastic volatility, and regime switching models. The proposed method combines a very effective control variate with conditional Monte Carlo. While the control variate can be used for any model allowing the numerical computation of the multivariate characteristic function of the log-return vector, conditional Monte Carlo is based on the unified representation of the three models. Computational results confirm that the new method performs better than available control variate methods.

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