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Fathi Vajargah, Kianoush, Eslami Mofid Abadi, Hossein. (1405). Simulation of Upper and Lower Bounds of Asian Option Pricing Models Based on the Markov Chain Monte Carlo Method for the Development of Financial Markets. فیزیولوژی و بیوتکنولوژی آبزیان, (), -. doi: 10.22124/cse.2026.33114.1164
Kianoush Fathi Vajargah; Hossein Eslami Mofid Abadi. "Simulation of Upper and Lower Bounds of Asian Option Pricing Models Based on the Markov Chain Monte Carlo Method for the Development of Financial Markets". فیزیولوژی و بیوتکنولوژی آبزیان, , , 1405, -. doi: 10.22124/cse.2026.33114.1164
Fathi Vajargah, Kianoush, Eslami Mofid Abadi, Hossein. (1405). 'Simulation of Upper and Lower Bounds of Asian Option Pricing Models Based on the Markov Chain Monte Carlo Method for the Development of Financial Markets', فیزیولوژی و بیوتکنولوژی آبزیان, (), pp. -. doi: 10.22124/cse.2026.33114.1164
Fathi Vajargah, Kianoush, Eslami Mofid Abadi, Hossein. Simulation of Upper and Lower Bounds of Asian Option Pricing Models Based on the Markov Chain Monte Carlo Method for the Development of Financial Markets. فیزیولوژی و بیوتکنولوژی آبزیان, 1405; (): -. doi: 10.22124/cse.2026.33114.1164

Simulation of Upper and Lower Bounds of Asian Option Pricing Models Based on the Markov Chain Monte Carlo Method for the Development of Financial Markets

Computational Sciences and Engineering
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 12 اردیبهشت 1405
نوع مقاله: Original Article
شناسه دیجیتال (DOI): 10.22124/cse.2026.33114.1164
نویسندگان
Kianoush Fathi Vajargah* 1؛ Hossein Eslami Mofid Abadi2
1Department of Statistics, NT.C., Islamic Azad University, Tehran, Iran.
2Department of Accounting & Management, Shahr.C., Islamic Azad University, Shahriar, Iran.
چکیده
The main objective of this research is to estimate and simulate the upper and lower bounds of Asian option prices using the MCMC method and to evaluate the efficiency of this approach in improving pricing models and contributing to the development of financial markets. Therefore, this study falls within the field of numerical analysis and computational finance. In this research, the pricing bounds of Asian options are determined using the MCMC simulation method. The statistical population consists of possible price paths of the underlying asset, which are modeled under a specified stochastic process, such as geometric Brownian motion, and the resulting outcomes are analyzed. In this context, explicit formulas are provided for several Lévy models, including the Kou model, the Merton model, and the NIG model. In the next stage, the results obtained from each of the Kou, Merton, and Normal Inverse Gaussian models are compared with the results of the MC simulation. The methods applied in this study include the upper bound method and the lower bound method. The results indicate that the lower bound is faster and more accurate than the upper bound. In particular, the numerical analysis shows that the lower bound introduced in this study can be computed very quickly and provides a high level of accuracy. Furthermore, for all considered models, the upper bound is computed at a reasonably fast rate; however, it is slower than the lower bound, which involves a single integral.
کلیدواژه‌ها
Model bounds simulation؛ pricing model؛ Asian options trading؛ Monte Carlo؛ Markov chains؛ financial market development
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تعداد مشاهده مقاله: 1


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