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On the error of the Monte Carlo pricing method for Asian optionPrimeFaces.cw("AccordionPanel","widget_formSmash_some",{id:"formSmash:some",widgetVar:"widget_formSmash_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_all",{id:"formSmash:all",widgetVar:"widget_formSmash_all",multiple:true});
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2008 (English)In: Journal of Numerical and Applied Mathematics, ISSN 0868-6912, Vol. 96, no 1, p. 1-10Article in journal (Refereed) Published
##### Abstract [en]

##### Place, publisher, year, edition, pages

2008. Vol. 96, no 1, p. 1-10
##### Keywords [en]

Asian option, Levy processes, Monte Carlo
##### National Category

Probability Theory and Statistics
##### Research subject

Mathematical Statistics
##### Identifiers

URN: urn:nbn:se:umu:diva-30785OAI: oai:DiVA.org:umu-30785DiVA, id: diva2:286810
#####

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PrimeFaces.cw("AccordionPanel","widget_formSmash_j_idt463",{id:"formSmash:j_idt463",widgetVar:"widget_formSmash_j_idt463",multiple:true}); Available from: 2010-01-15 Created: 2010-01-15 Last updated: 2018-06-08Bibliographically approved
##### In thesis

We consider a Monte Carlo method to price a continuous arithmetic Asian option with a given precision. Piecewise constant approximation and plain simulation are used for a wide class of models based on L\'{e}vy processes. We give bounds of the possible discretization and simulation errors. The sufficient numbers of discretization points and simulations to obtain requested accuracy are derived. To demonstrate the general approach, the Black-Scholes model is studied in more detail. We undertake the case of continuous averaging and starting time zero, but the obtained results can be applied to the discrete case and generalized for any time before an execution date. Some numerical experiments and comparison to the PDE based method are also presented.

1. Numerical analysis for random processes and fields and related design problems$(function(){PrimeFaces.cw("OverlayPanel","overlay437283",{id:"formSmash:j_idt741:0:j_idt745",widgetVar:"overlay437283",target:"formSmash:j_idt741:0:parentLink",showEvent:"mousedown",hideEvent:"mousedown",showEffect:"blind",hideEffect:"fade",appendToBody:true});});

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