Compound Variance Reduction Technique of Monte Carlo Simulation Methods for Asian Options Pricing

Journal of Information and Computational Science ◽

10.12733/jics20105530 ◽

2015 ◽

Vol 12 (3) ◽

pp. 1055-1061

Author(s):

Jing Zhang

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Variance Reduction ◽

Reduction Technique ◽

Options Pricing ◽

Simulation Methods ◽

Asian Options ◽

Variance Reduction Technique

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A variance reduction technique for long-term fatigue analysis of offshore structures using Monte Carlo simulation

Engineering Structures ◽

10.1016/j.engstruct.2016.09.047 ◽

2016 ◽

Vol 128 ◽

pp. 283-295 ◽

Author(s):

Ying Min Low

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Variance Reduction ◽

Offshore Structures ◽

Fatigue Analysis ◽

Reduction Technique ◽

Variance Reduction Technique

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Studies on variance reduction technique of Monte Carlo simulation in composite system reliability evaluation

Electric Power Systems Research ◽

10.1016/s0378-7796(02)00089-5 ◽

2002 ◽

Vol 63 (1) ◽

pp. 59-64 ◽

Author(s):

Bie Zhaohong ◽

Wang Xifan

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

System Reliability ◽

Variance Reduction ◽

Composite System ◽

Reliability Evaluation ◽

Reduction Technique ◽

Variance Reduction Technique

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Correction to: A source biasing and variance reduction technique for Monte Carlo radiation transport modeling of emission tomography problems

Journal of Radioanalytical and Nuclear Chemistry ◽

10.1007/s10967-020-07064-1 ◽

2020 ◽

Vol 324 (1) ◽

pp. 445-446

Author(s):

Seth Kilby ◽

Zhongmin Jin ◽

Ashish Avachat ◽

Bryant Kanies ◽

Nicolas Woolstenhulme ◽

...

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Radiation Transport ◽

Reduction Technique ◽

Transport Modeling ◽

Emission Tomography ◽

Variance Reduction Technique

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An improved on-the-fly global variance reduction technique by automatically updating weight window values for Monte Carlo shielding calculation

Fusion Engineering and Design ◽

10.1016/j.fusengdes.2019.06.011 ◽

2019 ◽

Vol 147 ◽

pp. 111238

Author(s):

Yu Zheng ◽

Yuefeng Qiu ◽

Peng Lu ◽

Yixue Chen ◽

Ulrich Fischer ◽

...

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Reduction Technique ◽

Variance Reduction Technique ◽

Weight Window ◽

Global Variance Reduction

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SU-FF-T-277: The Development and Implementation of a New Variance Reduction Technique in Monte Carlo Code PEREGRINE

Medical Physics ◽

10.1118/1.1998006 ◽

2005 ◽

Vol 32 (6Part11) ◽

pp. 2014-2014

Author(s):

F Ma ◽

R Pino ◽

S Zasadil ◽

D Sheikh-Bagheri ◽

P Nizin

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Reduction Technique ◽

Monte Carlo Code ◽

Variance Reduction Technique

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Biased Selection of Particle Flight Directions as a Variance Reduction Technique in Monte Carlo Calculations

Journal of Nuclear Science and Technology ◽

10.1080/18811248.1977.9730808 ◽

1977 ◽

Vol 14 (8) ◽

pp. 603-609

Author(s):

Takumi ASAOKA ◽

Shun-ichi MIYASAKA

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Reduction Technique ◽

Monte Carlo Calculations ◽

Variance Reduction Technique ◽

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Fast patient-specific Monte Carlo brachytherapy dose calculations via the correlated sampling variance reduction technique

Medical Physics ◽

10.1118/1.3679018 ◽

2012 ◽

Vol 39 (2) ◽

pp. 1058-1068 ◽

Author(s):

Andrew Sampson ◽

Yi Le ◽

Jeffrey F. Williamson

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Reduction Technique ◽

Patient Specific ◽

Sampling Variance ◽

Dose Calculations ◽

Variance Reduction Technique ◽

Correlated Sampling

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On a New Variance Reduction Technique: Neural Network Biasing - A Study of Two Test Cases with the Monte Carlo Code Tripoli4

Nuclear Technology ◽

10.13182/nt09-a9308 ◽

2009 ◽

Vol 168 (3) ◽

pp. 793-798 ◽

Author(s):

Eric Dumonteil

Keyword(s):

Neural Network ◽

Monte Carlo ◽

Variance Reduction ◽

Reduction Technique ◽

Monte Carlo Code ◽

Variance Reduction Technique

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Verification of the on-the-fly global variance reduction technique on Monte Carlo global coupled neutron photon shielding calculations

Fusion Engineering and Design ◽

10.1016/j.fusengdes.2021.112565 ◽

2021 ◽

Vol 171 ◽

pp. 112565

Author(s):

Yu Zheng ◽

Yuefeng Qiu ◽

Peng Lu ◽

Yixue Chen ◽

Ulrich Fischer ◽

...

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Reduction Technique ◽

Variance Reduction Technique ◽

Global Variance Reduction

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Penentuan Harga Opsi Asia dengan Metode Monte Carlo

Jurnal Matematika MANTIK ◽

10.15642/mantik.2017.3.1.44-48 ◽

2017 ◽

Vol 3 (1) ◽

pp. 44-48

Author(s):

Surya Amami Pramuditya

Keyword(s):

Monte Carlo ◽

Confidence Interval ◽

Stock Price ◽

Variance Reduction ◽

Option Price ◽

Numerical Procedure ◽

Reduction Technique ◽

Asian Options ◽

Call Option ◽

An option is a contract between a holder and a writer in which the writer grants the rights (not obligations) to the holder to buy or sell the assets of the writer at a certain price (strike price) at maturity time. Asian options are included in the dependent path option. This means that Asia's payoff option depends not only on the stock price at maturity time, but it is the average stock price during its maturity and symbolized A (average). Monte Carlo is basically used as a numerical procedure to estimate the expected value of pricing product derivatives. The techniques used are the standard Monte Carlo and variance reduction. The result obtained the Asia call option price and put for both techniques with 95% confidence interval. The variance reduction technique looks faster reducing 95% confidence interval than standard method.

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