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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2504.16349 |
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| _version_ | 1866908621733888000 |
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| author | Bouchard, Bruno Tan, Xiaolu |
| author_facet | Bouchard, Bruno Tan, Xiaolu |
| contents | 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]. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_16349 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Unbiased simulation of Asian options Bouchard, Bruno Tan, Xiaolu Probability Computational Finance 65C05, 60J60, 60J85, 35K10 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]. |
| title | Unbiased simulation of Asian options |
| topic | Probability Computational Finance 65C05, 60J60, 60J85, 35K10 |
| url | https://arxiv.org/abs/2504.16349 |