فهرست مقالات Asian options

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  1 - Variance analysis of control variate technique and applications in Asian option ‎pricing‎
  B. Fathi ‎Vajargah‎ A. Salimipour‎ S. Salahshour‎
  This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of correlation between two random variables is shown. We propose an efficient method for چکیده کامل

  This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of correlation between two random variables is shown. We propose an efficient method for choose suitable control in pricing arithmetic Asian options based on the control variates (CV). The numerical experiment shows the productivity of the proposed ‎method.‎ پرونده مقاله
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  2 - Deep Learning Application in Rainbow Options Pricing
  Ali Bolfake Seyed Nourollah Mousavi Sima Mashayekhi
  10.22034/amfa.2023.1970841.1812
  Due to the rapid advancements in computer technology, researchers are attracted to solving challenging problems in many different fields. The price of rainbow options is an interesting problem in financial fields and risk management. When there is no closed-form solutio چکیده کامل

  Due to the rapid advancements in computer technology, researchers are attracted to solving challenging problems in many different fields. The price of rainbow options is an interesting problem in financial fields and risk management. When there is no closed-form solution to some options, numerical methods must be used. Choosing a suitable numerical method involves the most appropriate combination of criteria for speed, accuracy, simplicity and generality. Monte Carlo simulation methods and traditional numerical methods have expensive repetitive computations and unrealistic assumptions on the model. Deep learning provides an effective and efficient method for options pricing. In this paper, the closed-form formula or Monte-Carlo simulation are used to generate data in European and Asian rainbow option prices for the deep learning model. The results confirm that the deep learning model can price the rainbow options more accurately with less computation time than Monte-Carlo simulation. پرونده مقاله