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Competitive Monte Carlo methods for the pricing of Asian options

Author

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  • Bernard Lapeyre

    (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École des Ponts ParisTech, MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École des Ponts ParisTech - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

  • Emmanuel Temam

    (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École des Ponts ParisTech, MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École des Ponts ParisTech - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

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.

Suggested Citation

  • Bernard Lapeyre & Emmanuel Temam, 2001. "Competitive Monte Carlo methods for the pricing of Asian options," Post-Print hal-01667057, HAL.
    • Handle: RePEc:hal:journl:hal-01667057
    DOI: 10.21314/JCF.2001.061
    as

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