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Variance Reduction for Asian Options
Halmstad University.
(English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

Asian options are an important family of derivative contracts with a wide variety of applications in commodity, currency, energy, interest rate, equity and insurance markets. In this master's thesis, we investigate methods for evaluating the price of the Asian call options with a fixed strike. One of them is the Monte Carlo method. The accurancy of this method can be observed through variance of the price. We will see that the variance with using Monte Carlo method has to be decreased. The Variance Reduction technique is useful for this aim. We will give evidence of the efficiency of one of the Variance Reduction thechniques - Control Variate method - in a mathematical context and a numerical comparison with the ordinary Monte Carlo method.

Keywords [en]
Asian options, Monte Carlo method, Variance Reduction techniques, Control Variate
Identifiers
URN: urn:nbn:se:hh:diva-1639Local ID: 2082/2020OAI: oai:DiVA.org:hh-1639DiVA, id: diva2:238857
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-06-25 Created: 2008-06-25 Last updated: 2009-10-26

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fulltext(1306 kB)993 downloads
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File name FULLTEXT01.pdfFile size 1306 kBChecksum MD5
13c1c7363e0df4a729ce3290b94398ed8251fcff9c583da20233ab26240f36f5778d3d49f1cea0b3dda4d681d45f9209806b6bbd3b165d1e954f587b9140937e9e538395c1d2688d44c27d399f03f3bc
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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf