Efficient Monte Carlo pricing of European options using mean value control variates

DOI10.1007/S102030170002zbMath1010.91051OpenAlexW1978405907MaRDI QIDQ1601356

R. Smith

Publication date: 22 May 2003

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030170002

zbMATH Keywords

variance reduction methodmultifactor options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Least-square-based control variate method for pricing options under general factor models ⋮ Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets ⋮ Pricing and hedging basket options with exact moment matching ⋮ Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model ⋮ An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options ⋮ \(t\)-Copula generation for control variates ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ Accurate closed-form approximation for pricing Asian and basket options ⋮ Static hedging of multivariate derivatives by simulation ⋮ Automatic control variates for option pricing using neural networks

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