Estimators of sensitivities of an Asian option: numerical analysis

Abderrahmane Moussi, Abdeluaab Lidouh, Fatima Zahra Nqi
2014 International Journal of Mathematical Analysis  
In this paper, we investigate three methods for computing price sensitivities (or greeks) of an Asian option, namely, finite difference methods, a likelihood ratio method, and a pathwise method and we analyze the outputs. The efficiency of results is evaluated by means of Monte Carlo with and without, variance reduction technique.
doi:10.12988/ijma.2014.4391 fatcat:rlvjdq37uvdcvdjwinjqcmipmm