Pricing of arithmetic average asian option by combining variance reduction and quasi-monte carlo method

HIGHLIGHTS

• who: Lingling Xu et al. from the School of Science and Technology, Hong Kong Metropolitan University, Hong Kong, China have published the Article: Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method, in the Journal: Mathematics 2023, 11, 594. of /2023/
• what: Meanwhile the approach based on low discrepancy sequences is used to refine the error convergence rate. Combining the GARCH-based B-S model and the variance reduction technique, the authors develop a new numerical simulation method based on QMC to deal with the price of arithmetic average . . .
  

   

  

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