Competitive Monte Carlo methods for the pricing of Asian options

Bernard Lapeyre () and Emmanuel Temam
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Bernard Lapeyre: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées, MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École nationale des ponts et chaussées - 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 nationale des ponts et chaussées, MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École nationale des ponts et chaussées - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12

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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.

Date: 2001
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Citations: View citations in EconPapers (28)

Published in The Journal of Computational Finance, 2001, 5 (1), pp.39 - 57. ⟨10.21314/JCF.2001.061⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01667057

DOI: 10.21314/JCF.2001.061

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