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We introduce a numerical method for pricing of arithmetic average Asian options employing a control variate to reduce variance in the Monte Carlo estimation. In the first section we present a simple example of variance reduction by conditioning as a motivation for the general idea, and in the rest of the chapter we focus on pricing of arithmetic average Asian options.

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A Control Variate Method Based On Conditioning

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  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

We introduce a numerical method for pricing of arithmetic average Asian options employing a control variate to reduce variance in the Monte Carlo estimation. In the first section we present a simple example of variance reduction by conditioning as a motivation for the general idea, and in the rest of the chapter we focus on pricing of arithmetic average Asian options.