| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4639439 | Journal of Computational and Applied Mathematics | 2013 | 12 Pages |
Abstract
We present a new valuation method for basket options that is based on a limiting approximation of the arithmetic mean by the geometric mean. Using this approximation combined with a new analytical pricing formula for an approximating geometric mean-based option as a control variate, excellent performance for Monte Carlo pricing in a control variate setting is obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Ralf Korn, Serkan Zeytun,