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Control variates and conditional Monte Carlo for basket and Asian options

Section: Articles
Title: Control variates and conditional Monte Carlo for basket and Asian options / Kemal Dinçer Dingeç, Wolfgang Hörmann Author: Dinçer Dingeç, Kemal
Notes: Sumario: A new, very efficient and fairly simple simulation method for European basket and Asian options under the geometric Brownian motion assumption is presented. It is based on a new control variate method that uses the closed form of the expected payoff conditional on the assumption that the geometric average of all prices is larger than the strike price. The combination of that new control variate with conditional Monte Carlo and quadratic control variates leads to the newly proposed algorithm. Numerical experiments show that the new algorithm is more efficient than the classical control variate method using the geometric price.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 06/05/2013 Volumen 52 Número 3 - mayo 2013 Other categories: 6
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