Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method
Financial derivatives have developed rapidly over the past few decades due to their risk-averse nature, with options being the preferred financial derivatives due to their flexible contractual mechanisms, particularly Asian options. The Black–Scholes stock option pricing model is often used in conju...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-01-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/3/594 |