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Competitive Monte Carlo methods for the pricing of Asian options

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  • B. Lapeyre, E. Temam

Abstract

ABSTRACT We explain how a carefully chosen scheme can lead to competitive Monte Carlo algorithms for the computation of the price of Asian options. We give evidence of the efficiency of these algorithms with a mathematical study of the rate of convergence and a numerical comparison with some existing methods.

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Handle: RePEc:rsk:journ0:2160528
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