Compound Variance Reduction Technique of Monte Carlo Simulation Methods for Asian Options Pricing

This paper combines the control variable technique and dual variable technique together, both of which are simple and ∞exible variance reduction techniques, and puts forward a compound technique method that is more efiective variance reduction technique on Monte Carlo simulation method for pricing Asian options. Moreover, six usual control variables and the corresponding dual variables are selected to make some practical analysis by using an arithmetic Asian option.