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• W1970710195 abstract "A new, very efficient and fairly simple simulation method for European basket and Asian options under the geometric Brownian motion assumption is presented. It is based on a new control variate method that uses the closed form of the expected payoff conditional on the assumption that the geometric average of all prices is larger than the strike price. The combination of that new control variate with conditional Monte Carlo and quadratic control variates leads to the newly proposed algorithm. Numerical experiments show that the new algorithm is more efficient than the classical control variate method using the geometric price." @default.
• W1970710195 created "2016-06-24" @default.
• W1970710195 creator A5023277983 @default.
• W1970710195 creator A5053412721 @default.
• W1970710195 date "2013-05-01" @default.
• W1970710195 modified "2023-10-17" @default.
• W1970710195 title "Control variates and conditional Monte Carlo for basket and Asian options" @default.
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• W1970710195 doi "https://doi.org/10.1016/j.insmatheco.2013.03.002" @default.
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