In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to one well chosen integration variable to obtain a smooth function of the remaining variables, followed by the application of a tailored lattice Quasi-Monte Carlo rule to integrate over the remaining variables.
翻译:在本文中,我们提出并分析一种估算与亚洲选项有关的三个数量的方法:公平价格、累积分布功能和概率密度。 这种方法涉及一个精心选择的整合变量的预先整合,以获得剩余变量的平稳功能,然后是应用量身定制的拉蒂斯·卡西-蒙特卡洛规则,以整合其余变量。