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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Generalized Control Variate Methods for Pricing Asian Options


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62086


    Title: Generalized Control Variate Methods for Pricing Asian Options
    Authors: Chuan-Hsiang Han;Yongzeng Lai
    教師: 韓傳祥
    Date: 2010
    Publisher: Risk Publications
    Relation: Journal of Computational Finance,Risk Publications, Vol. 14,No. 2, Winter 2010.
    Keywords: Generalized
    Control Variate Methods
    Pricing
    Asian Options
    Abstract: The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes model can be interpreted as a particular selection of linear martingale controls. We generalize the constant control parameter into a control process to gain more reduction on variance. By means of an option price approximation, we construct a martingale control variate method, which outperforms the conventional control variate method. It is straightforward to extend such linear control to a nonlinear situation such as the American Asian option problem. From the variance analysis of martingales, the performance of control variate methods depends on the distance between the approximate martingale and the optimal martingale. This measure becomes helpful for the design of control variate methods for complex problems such as Asian option under stochastic volatility models. We demonstrate multiple choices of controls and test them under MC/QMC (Monte
    Carlo/ Quasi Monte Carlo)- simulations. QMC methods work signi cantly well after adding a control, the variance reduction ratios increase to 260 times for randomized QMC compared with 60 times for MC simulations with a control.
    URI: http://mx.nthu.edu.tw/~chhan/gen_AAO_v.kan.final.pdf
    http://riskbooks.com/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62086
    Appears in Collections:[計量財務金融學系] 期刊論文

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