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- W2000783338 abstract "We present a new variance reduction method for Asian options under a general model framework. The three special cases we consider are Levy processes, Heston stochastic volatility, and regime switching models. The proposed method combines a very effective control variate with conditional Monte Carlo. While the control variate can be used for any model allowing the numerical computation of the multivariate characteristic function of the log-return vector, conditional Monte Carlo is based on the unified representation of the three models. Computational results confirm that the new method performs better than available control variate methods." @default.
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- W2000783338 date "2014-03-06" @default.
- W2000783338 modified "2023-10-17" @default.
- W2000783338 title "Variance Reduction for Asian Options under a General Model Framework*" @default.
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- W2000783338 doi "https://doi.org/10.1093/rof/rfu005" @default.
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