Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options

2010 ◽  
Vol 16 (2) ◽  
Author(s):  
Benjamin Jourdain ◽  
Mohamed Sbai
Keyword(s):  
Monte Carlo ◽  
Asian Options ◽  
Arithmetic Average ◽  
Monte Carlo Computation

PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS

2011 ◽  
Vol 14 (02) ◽  
pp. 313-333 ◽  
Author(s):  
MERCURI LORENZO
Keyword(s):  
Monte Carlo ◽  
Analytical Procedure ◽  
Garch Models ◽  
Asian Options ◽  
Edgeworth Expansions ◽  
Arithmetic Average ◽  
Geometric Average ◽  
Low Order

We derive recursive relationships for the m.g.f. of the geometric average of the underlying within some affine Garch models [Heston and Nandi (2000), Christoffersen et al. (2006), Bellini and Mercuri (2007), Mercuri (2008)] and use them for the semi-analytical valuation of geometric Asian options. Similar relationships are obtained for low order moments of the arithmetic average, that are used for an approximated valuation of arithmetic Asian options based on truncated Edgeworth expansions, following the approach of Turnbull and Wakeman (1991). In both cases the accuracy of the semi-analytical procedure is assessed by means of a comparison with Monte Carlo prices. The results are quite good in the geometric case, while in the arithmetic case the proposed methodology seems to work well only in the Heston and Nandi case.

SU-FF-T-394: Monte Carlo Computation of the Effective Dose in Scanning Beam Proton Therapy

2009 ◽  
Vol 36 (6Part15) ◽  
pp. 2612-2612
Author(s):  
D Mirkovic ◽  
U Titt ◽  
G Sawakuchi ◽  
X Zhang ◽  
Y Li ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Effective Dose ◽  
Proton Therapy ◽  
Scanning Beam ◽  
Monte Carlo Computation ◽  
Beam Proton
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