没人来看看吗

我看了，这个题有意思，我按捺不住好奇心推了一下，得到了理论的结果，还没编程实现
可惜我下了决心不在这里回答问题了，你运气不好来晚了

这个题目我会做，你来加 我的MSN :rcjrn@hotmail.com

别这样。

做一个受人尊敬、诲人不倦的好老师，三人行吗？！

试了一下，对于Asian option来说change of drift不是很有效的variance reduction technique

Asian arithmetic fixed strike call
S = 100, K = 100, r = 0.05, q = 0.03, T = 1, sigma = 0.2, monthly fixing

# Sobol
#     N  price  delta
  10000 5.2040 0.5333
  20000 5.2055 0.5347
  40000 5.2175 0.5338
  80000 5.2176 0.5331
160000 5.2182 0.5342
320000 5.2181 0.5341
640000 5.2185 0.5343
1280000 5.2195 0.5343

# Sobol + control variate
#     N  price  delta
  10000 5.2185 0.5339
  20000 5.2194 0.5342
  40000 5.2192 0.5343
  80000 5.2190 0.5342
160000 5.2192 0.5341
320000 5.2191 0.5344
640000 5.2191 0.5342
1280000 5.2191 0.5343

# Sobol + change of drift
#     N  price  delta
  10000 5.2144 0.5286
  20000 5.2215 0.5316
  40000 5.2190 0.5352
  80000 5.2208 0.5357
160000 5.2206 0.5350
320000 5.2194 0.5345
640000 5.2191 0.5344
1280000 5.2186 0.5346

# Sobol + control variate + change of drift
#     N  price  delta
  10000 5.2179 0.5344
  20000 5.2183 0.5340
  40000 5.2190 0.5345
  80000 5.2193 0.5341
160000 5.2192 0.5341
320000 5.2191 0.5340
640000 5.2191 0.5342
1280000 5.2191 0.5343

# MT19937
#     N  price se_price  delta se_delta
  10000 5.1488   0.0776 0.5308   0.0053
  20000 5.1945   0.0551 0.5337   0.0037
  40000 5.1972   0.0390 0.5333   0.0027
  80000 5.2405   0.0278 0.5353   0.0019
160000 5.2335   0.0196 0.5359   0.0013
320000 5.2171   0.0139 0.5349   0.0009
640000 5.2156   0.0098 0.5348   0.0007
1280000 5.2126   0.0069 0.5341   0.0005

# MT19937 + antithetic variables
#     N  price se_price  delta se_delta
  10000 5.1790   0.0412 0.5343   0.0007
  20000 5.2108   0.0293 0.5346   0.0005
  40000 5.2134   0.0208 0.5345   0.0003
  80000 5.2275   0.0147 0.5345   0.0002
160000 5.2304   0.0104 0.5346   0.0002
320000 5.2192   0.0073 0.5344   0.0001
640000 5.2163   0.0052 0.5344   0.0001
1280000 5.2189   0.0037 0.5344   0.0001

# MT19937 + control variate
#     N  price se_price  delta se_delta
  10000 5.2199   0.0032 0.5349   0.0008
  20000 5.2221   0.0023 0.5344   0.0006
  40000 5.2207   0.0016 0.5347   0.0004
  80000 5.2216   0.0011 0.5343   0.0003
160000 5.2207   0.0008 0.5345   0.0002
320000 5.2197   0.0006 0.5343   0.0001
640000 5.2195   0.0004 0.5344   0.0001
1280000 5.2191   0.0003 0.5344   0.0001

# MT19937 + change of drift
#     N  price se_price  delta se_delta
  10000 5.2330   0.0268 0.5364   0.0043
  20000 5.2216   0.0189 0.5350   0.0030
  40000 5.2260   0.0134 0.5349   0.0021
  80000 5.2140   0.0095 0.5329   0.0015
160000 5.2126   0.0067 0.5326   0.0011
320000 5.2183   0.0047 0.5335   0.0008
640000 5.2201   0.0033 0.5335   0.0005
1280000 5.2177   0.0024 0.5342   0.0004

# MT19937 + antithetic variables + control variate
#     N  price se_price  delta se_delta
  10000 5.2196   0.0019 0.5347   0.0006
  20000 5.2205   0.0013 0.5347   0.0004
  40000 5.2206   0.0009 0.5346   0.0003
  80000 5.2204   0.0007 0.5344   0.0002
160000 5.2203   0.0005 0.5345   0.0001
320000 5.2197   0.0003 0.5344   0.0001
640000 5.2194   0.0002 0.5344   0.0001
1280000 5.2194   0.0002 0.5344   0.0000

# MT19937 + antithetic variables + change of drift
#     N  price se_price  delta se_delta
  10000 5.2397   0.0227 0.5360   0.0030
  20000 5.2218   0.0160 0.5357   0.0021
  40000 5.2234   0.0114 0.5353   0.0015
  80000 5.2131   0.0080 0.5331   0.0011
160000 5.2124   0.0057 0.5332   0.0008
320000 5.2179   0.0040 0.5338   0.0005
640000 5.2195   0.0028 0.5342   0.0004
1280000 5.2186   0.0020 0.5344   0.0003

# MT19937 + control variate + change of drift
#     N  price se_price  delta se_delta
  10000 5.2196   0.0019 0.5347   0.0006
  20000 5.2205   0.0013 0.5347   0.0004
  40000 5.2206   0.0009 0.5346   0.0003
  80000 5.2204   0.0007 0.5344   0.0002
160000 5.2203   0.0005 0.5345   0.0001
320000 5.2197   0.0003 0.5344   0.0001
640000 5.2194   0.0002 0.5344   0.0001
1280000 5.2194   0.0002 0.5344   0.0000

# MT19937 + antithetic variables + control variate + change of drift
#     N  price se_price  delta se_delta
  10000 5.2203   0.0013 0.5348   0.0008
  20000 5.2206   0.0009 0.5348   0.0005
  40000 5.2197   0.0006 0.5347   0.0004
  80000 5.2191   0.0004 0.5345   0.0003
160000 5.2191   0.0003 0.5345   0.0002
320000 5.2191   0.0002 0.5345   0.0001
640000 5.2192   0.0002 0.5344   0.0001
1280000 5.2192   0.0001 0.5344   0.0001

明显control variate是最有效的

谢绝求程序

感谢wuminjin123给我一个学习的机会，站内短消息看参考资料