A new control variate estimator for an Asian option

Kenji Kamizono, Takeaki Kariya, Regina Y. Liu, Teruo Nakatsuma

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1 Citation (Scopus)


There exist several estimators for valuing the Asian option on the arithmetic mean. Among all variance reduction estimators, the one with the control variate derived from the geometric mean has been shown by Boyle et al. (1997) to perform best so far. In this paper, a new improved control variate estimator for this type of Asian option is proposed and investigated. Simulation results confirm that it does perform better than the control variate derived from the geometric mean. The improvement becomes more significant as the volatility increases and/or as the time to expiration lengthens.

Original languageEnglish
Pages (from-to)143-160
Number of pages18
JournalAsia-Pacific Financial Markets
Issue number2
Publication statusPublished - 2004 Dec 1



  • Control variate estimator
  • Monte-Carlo simulation
  • Option pricing
  • Variance reduction technique

ASJC Scopus subject areas

  • Finance

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