چکیده مقاله
In this paper, we analyze variance reduction for pricing financial derivatives and we study the effect of correlation between two random variables Also, we present a useful method for choosing suitable control in pricing arithmetic Asian options
کلیدواژهها
variance reduction Mont Carlo simulation arithmetic Asian options control variates. control variates
نویسندگان
Somaye Grailoo Tanha
Esfarayen University of Technology, Esfarayen, North Khorasan, Iran;
Ayoob Salimipour
Department of Mathematics, Quchan University of Technology, Quchan, Iran
شیوه ارجاع
Grailoo Tanha, Somaye and Salimipour, Ayoob,1398,Application of control variate technique in Asian option pricing,3rd International Conference on Soft Computing,Rudsar
ارائهشده در
مجموعه مقالات سومین کنفرانس بین المللی محاسبات نرم29 آبان 1398 · رودسر