An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting-Reference-Cited by-同舟云学术

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An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting

Published:2019-02-11 Issue:12 Volume:96 Page:2522-2532
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Xu Chenglong¹,Yang Feng²,Sun Yongchao²

Affiliation:

1. Institute of Scientific Computation and Financial Data Analysis, School of Mathematics, Shanghai University of Finance and Economics, Shanghai, People's Republic of China

2. School of Mathematical Science, Tongji University, Shanghai, People's Republic of China

Funder

Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2019.1577399

Reference24 articles.

1. The pricing of discretely sampled Asian and lookback options: a change of numeraire approach

2. Stochastic Simulation: Algorithms and Analysis

3. Variance Reduction for Asian Options under a General Model Framework*

4. Conditional Monte Carlo

5. General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

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1. Performance evaluation of investment with DEA models under pure jump processes;Concurrency and Computation: Practice and Experience;2022-12-08

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