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Fathi ‎Vajargah‎, B., Salimipour‎, A., Salahshour‎, S.. (1392). Variance analysis of control variate technique and applications in Asian option ‎pricing‎. , 8(1), 65-71.
B. Fathi ‎Vajargah‎; A. Salimipour‎; S. Salahshour‎. "Variance analysis of control variate technique and applications in Asian option ‎pricing‎". , 8, 1, 1392, 65-71.
Fathi ‎Vajargah‎, B., Salimipour‎, A., Salahshour‎, S.. (1392). 'Variance analysis of control variate technique and applications in Asian option ‎pricing‎', , 8(1), pp. 65-71.
Fathi ‎Vajargah‎, B., Salimipour‎, A., Salahshour‎, S.. Variance analysis of control variate technique and applications in Asian option ‎pricing‎. , 1392; 8(1): 65-71.

Variance analysis of control variate technique and applications in Asian option ‎pricing‎

International Journal of Industrial Mathematics
مقاله 7، دوره 8، شماره 1، فروردین 2016، صفحه 65-71  XML اصل مقاله (572.98 K)
نوع مقاله: Research Paper
نویسندگان
B. Fathi ‎Vajargah‎ email 1؛ A. Salimipour‎2؛ S. Salahshour‎3
1Department of Statistics, Faculty of Mathematical Science, University of Guilan, Rasht, ‎Iran‎.
2Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Rasht, ‎Iran‎.
3Young Researchers and Elite Club, Mobarakeh Branch, Islamic Azad University, Iran.
چکیده
This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of correlation between two random variables is shown. We propose an efficient method for choose suitable control in pricing arithmetic Asian options based on the control variates (CV). The numerical experiment shows the productivity of the proposed ‎method.‎
کلیدواژه‌ها
Monte Carlo simulation؛ Arithmetic Asian options؛ Variance reduction technique؛ Control variates؛ Correlation
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