A new control variate estimator for an Asian option

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

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)143-160
ページ数18
ジャーナルAsia-Pacific Financial Markets
11
2
DOI
出版ステータスPublished - 2004

ASJC Scopus subject areas

  • 財務

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