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Competitive monte carlo methods for the pricing of asian options
| Content Provider | CiteSeerX |
|---|---|
| Author | Lapeyre, B. |
| Abstract | 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. 1. |
| File Format | |
| Journal | Journal of Computational Finance |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Asian Option Competitive Monte Carlo Method Mathematical Study Numerical Comparison Competitive Monte Carlo Algorithm |
| Content Type | Text |
| Resource Type | Article |