Monte Carlo Asian Option Pricing

With control variates method, the sample variance is reduced significantly, and hence the prcing result is better.
Note that the exact value under this numerical setting this 2.3682854518288..., which is obtained by convolution pricing.
It does take more time to evaluate the geometric mean of sample prices, but it’s worthy.

Without Control Variates method

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With Control Variates  method

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Spikey Created with Wolfram Mathematica 8.0