arXiv Open Access 2025

Unbiased simulation of Asian options

Bruno Bouchard Xiaolu Tan

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Abstrak

We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pertaining for Asian options. In our setting, both the payoff and the SDE's coefficients depend on the (weighted) average of the process or, more precisely, on the integral of the solution to the SDE against a continuous function with bounded variations. In particular, this applies to the numerical resolution of the class of path-dependent PDEs whose regularity, in the sens of Dupire, is studied in Bouchard and Tan [Ann. I.H.P., to appear].

Topik & Kata Kunci

math.PR q-fin.CP

Penulis (2)

Bruno Bouchard

Xiaolu Tan

Format Sitasi

APA MLA BibTeX

Bouchard, B., Tan, X. (2025). Unbiased simulation of Asian options. https://arxiv.org/abs/2504.16349

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓