Application of control variate technique in Asian option pricing
Publish place: 3rd International Conference on Soft Computing
Publish Year: 1398
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
CSCG03_182
تاریخ نمایه سازی: 14 فروردین 1399
Abstract:
In this paper, we analyze variance reduction for pricing financial derivatives and we study the effect of correlation between two random variables. Also, we present a useful method for choosing suitable control in pricing arithmetic Asian options.
Authors
Somaye Grailoo Tanha
Esfarayen University of Technology, Esfarayen, North Khorasan, Iran;
Ayoob Salimipour
Department of Mathematics, Quchan University of Technology, Quchan, Iran