Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Competitive Monte Carlo methods for the pricing of Asian options
B. Lapeyre, E. Temam
Abstract
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.
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