摘要翻译：
利用最近关于精确模拟算法(Beskos，Papaspiliopoulos和Roberts）和某些fonctional积分期望的无偏估计(Wagner，Beskos等人和Fearnhead等人）的文献，我们在Black和Scholes框架中应用了一种基于精确模拟的连续算术平均亚式期权定价技术。与现有的蒙特卡罗方法不同，我们不再容易因离散采样近似连续时间过程而产生离散化偏差。给出了仿真研究的数值结果，并考虑了方差减小问题。
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英文标题：
《Exact retrospective Monte Carlo computation of arithmetic average Asian
  options》
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作者：
Benjamin Jourdain (CERMICS), Mohamed Sbai (CERMICS)
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Taking advantage of the recent litterature on exact simulation algorithms (Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the expectation of certain fonctional integrals (Wagner, Beskos et al. and Fearnhead et al.), we apply an exact simulation based technique for pricing continuous arithmetic average Asian options in the Black and Scholes framework. Unlike existing Monte Carlo methods, we are no longer prone to the discretization bias resulting from the approximation of continuous time processes through discrete sampling. Numerical results of simulation studies are presented and variance reduction problems are considered.
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PDF链接：
https://arxiv.org/pdf/0704.1433