Competitive Monte Carlo methods for the pricing of Asian options
Lapeyre, Bernard ; Temam, Emmanuel
HAL, hal-01667057 / Harvested from HAL
Text on HAL
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.
Publié le : 2001-07-04
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] 
@article{hal-01667057,
     author = {Lapeyre, Bernard and Temam, Emmanuel},
     title = {Competitive Monte Carlo methods for the pricing of Asian options},
     journal = {HAL},
     volume = {2001},
     number = {0},
     year = {2001},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01667057}
}

Lapeyre, Bernard; Temam, Emmanuel. Competitive Monte Carlo methods for the pricing of Asian options. HAL, Tome 2001 (2001) no. 0, . http://gdmltest.u-ga.fr/item/hal-01667057/