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General multilevel Monte Carlo methods for pricing discretely monitored Asian options · Study

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ArticleGeneral multilevel Monte Carlo methods for pricing discretely monitored Asian options

Nabil Kahalé2020

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Articlegreen2020

General multilevel Monte Carlo methods for pricing discretely monitored Asian options

16 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

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References

1999Continuous Martingales and Brownian Motion 1976Option pricing when underlying stock returns are discontinuous 2016Numerical solution of stochastic differential equations 2003Monte Carlo Methods in Financial Engineering 2003Options, Futures and Other Derivatives 2003Financial Modelling with Jump Processes 1976The valuation of options for alternative stochastic processes 2002A Jump-Diffusion Model for Option Pricing

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2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 11 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 10 shared references 2013Multilevel Monte Carlo Methodschapter · 9 shared references 2014Variance Reduction for Asian Options under a General Model Frameworkarticle · 9 shared references 2012Finite-Element Methodschapter · 8 shared references 2018Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility modelarticle · 8 shared references

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Year2020

Typearticle

Published2020-05-19

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2020.04.022

openalex_workW3027588580

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