An effective hybrid variance reduction method for pricing the Asian options and its variants

摘要: Abstract In this paper, we propose a variance reduction method that combines importance sampling and control variates to price European Arithmetic Asian options its variants (i.e., plus knock-in or knock-out options) under the Black-Scholes model. The numerical results show proposed methods are especially efficient following scenarios: in money, low volatility, more dates, higher barrier thresholds.