Journal
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Volume 85, Issue 18, Pages 3811-3819Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/00949655.2015.1046072
Keywords
Asian option; stochastic volatility model; jumps; Monte Carlo simulation; variance reduction; 91G60; 65C05
Funding
- University of Guilan
Ask authors/readers for more resources
This paper presents an efficient Monte Carlo simulation scheme based on the variance reduction methods to evaluate arithmetic average Asian options in the context of the double Heston's stochastic volatility model with jumps. This paper consists of two essential parts. The first part presents a new flexible stochastic volatility model, namely, the double Heston model with jumps. In the second part, by combining two variance reduction procedures via Monte Carlo simulation, we propose an efficient Monte Carlo simulation scheme for pricing arithmetic average Asian options under the double Heston model with jumps. Numerical results illustrate the efficiency of our method.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available