Competitive Monte Carlo methods for the pricing of Asian options

Bernard Lapeyre (1, 2) , Emmanuel Temam (1, 2)

1 CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique
2 MATHFI - Financial mathematics

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.

Domaines: Probabilités [math.PR]; Finance quantitative [q-fin.CP]

Bernard Lapeyre, Emmanuel Temam. Competitive Monte Carlo methods for the pricing of Asian options. The Journal of Computational Finance, 2001, 5 (1), pp.39 - 57. ⟨10.21314/JCF.2001.061⟩. ⟨hal-01667057⟩