Fu, M.C., Madan, D., and Wang, T. (1999) Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods, Journal of Computational Finance 2 (Winter) 49--74. Home/Search Document Details and Download
Summary Related Articles Check |
This paper is cited in the following contexts:
Large Sample Properties of Weighted Monte Carlo Estimators - Glasserman, Yu (Correct)
.... true value for a control corresponds to taking c X equal to the di#erence between the di#usion and discrete time values. In this case, the constraints (7) may be viewed as correcting (or attempting to correct) for known discretization error. An idea of this type is tested in Fu, Madan, and Wang [9] and found to be advantageous. They consider only the case of a linear control variable, but the idea can also be applied in the WMC formulation of (5) 7) Related estimators using biased control variables are analyzed by Schmeiser, Taa#e, and Wang [22] though not specifically focused on ....
Fu, M.C., Madan, D., and Wang, T. (1999) Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods, Journal of Computational Finance 2 (Winter) 49--74.
Large Sample Properties of Weighted Monte Carlo Estimators - Glasserman, Yu (2002) (Correct)
.... true value for a control corresponds to taking c X equal to the di#erence between the di#usion and discrete time values. In this case, the constraints (7) may be viewed as correcting (or attempting to correct) for known discretization error. An idea of this type is tested in Fu, Madan, and Wang [8] and found to be advantageous. They consider only the case of a linear control variate, but the idea can also be applied in the WMC formulation of (5) 7) Related estimators using biased control variates are analyzed by Schmeiser, Taa#e, and Wang [20] though not specifically focused on ....
Fu, M.C., Madan, D., and Wang, T. (1999) Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods, Journal of Computational Finance 2 (Winter) 49--74.
Non-recombining trees for the pricing of interest rate.. - Jäckel (Correct)
....limitations to how many branches one may use out of each node. In fact, many recombining tree like methods or PDE solvers use effectively 2 more than three nodes for improved convergence. Examples include fast convolution methods such as the ones using Fourier [CM99] or Laplace transformations [FMW98] but also the willow tree method [Cur94] However, using the simplex coordinates as given by equation (19) will quickly result in redundant, i.e. identical branch coefficients. For instance, if we were to choose a 4 branch construction for a single factor model, we would probably want the four ....
M. C. Fu, D. B. Madan, and T. Wang. Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods. The Journal of Computational Finance, 2(2):49--74, 1998. 8
A new PDE approach for pricing arithmetic average Asian options - Vecer (2000) (3 citations) (Correct)
.... see Turnbull and Wakeman [18] Vorst [19] Levy [13] Levy and Turnbull [14] Geman and Yor [8] computed the Laplace transform of the Asian option price, but numerical inversion remains problematic for low volatility and or short maturity cases (see Geman and Eydeland [6] or Fu, Madan and Wang [5]) Monte Carlo simulation works well, but it can be computationally expensive without the enhancement of variance reduction techniques and one must account for the inherent discretization bias resulting from the approximation of continuous time processes through discrete sampling (see Broadie and ....
....in (4. 1) The Monte Carlo method used here as a comparison uses techniques from Glasserman, Heidelberger and Shahabuddin [7] together with Sobol numbers and geometric Asian call option as control variate, which both reduces the variance and the bias from the discretization (see Fu, Madan and Wang [5]) The lower and upper analytical bounds mentioned here are according to Rogers and Shi. As seen from the table, the accuracy of the method suggested in this article is very good; it always gives prices within analytical bounds. It is stable for low volatilities and short maturities contrary to ....
Fu, M., Madan, D., Wang, T., \Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods", The Journal of Computational Finance, Vol. 2, No. 2, Winter 1998/99.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC