Variance Reduction for Asian Options under a General Model Framework*
Author:
Affiliation:
1. Boğaziçi University, 2Yeditepe University, and 3Boğaziçi University
Publisher
Oxford University Press (OUP)
Subject
Finance,Economics and Econometrics,Accounting
Link
http://academic.oup.com/rof/article-pdf/19/2/907/26316971/rfu005.pdf
Reference58 articles.
1. Simple and efficient simulation of the Heston stochastic volatility model;Andersen;Journal of Computational Finance,2008
2. Stochastic Simulation: Algorithms and Analysis
3. Pricing Asian options for jump diffusion;Bayraktar;Mathematical Finance,2011
4. Alternatives to the normal model of stock returns: Gaussian mixture, generalised logf and generalised hyperbolic models;Behr;Annals of Finance,2009
5. Exact simulation of option greeks under stochastic volatility and jump diffusion models;Broadie,2004
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