Combinations of control variate and importance sampling method on pricing Asian options
Date Issued
2014
Date
2014
Author(s)
Qin, Wei-Zhi
Abstract
We dicuss the Asian option pricing problem under the geometric Brown-ian motion assumption. Digec and Horrman [7] give a method based on the combination of conditional importance sampling and control variate method. First we revise the conditional important sampling part by using different im-portance sampling critique including efficient estimator and using some ap-proximation distribution. We give some theoretical support to our method. And then we give the numerical results of this revised method. Second we discuss the possibility of the control variate part to form a general method to deal with this problem. Finally we estimate the probability P (⣵76; ≥ ⣵77;) and discuss the numerical result.
Subjects
控制變異
亞式選擇權
重要抽樣法
Type
thesis
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