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Estimators of sensitivities of an Asian option: numerical analysis
2014
International Journal of Mathematical Analysis
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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