I am using the procedure of stratified sampling for variance reduction. In the Glasserman book the algorithm for stratified the terminal value of the Brownian motion is given for european options. For asian options he has written to stratify the average of brownian motions : $ W(t_1), W(t_2) ... W(t_m) $

But i cannot figure out how to exactly go about doing this. Any resource for this specific problem would be highly helpful.

  • $\begingroup$ It would be the same as European option except that you now need to apply the same technique for each Asian fixing dates. $\endgroup$ – Gordon Oct 4 '19 at 16:40

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.