A multilevel approach to control variates

DOI10.21314/JCF.2009.201MaRDI QIDQ3404355zbMATH OpenOpenAlexFDO

Authors Adam L. Speight

Publication date 8 February 2010

Published in The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21314/jcf.2009.201

zbMATH Keywords

Asian optionderivative pricingMonte Carlovariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Efficient Monte Carlo pricing of European options using mean value control variates
• Variance derivatives pricing and control variate Monte Carlo method
• scientific article; zbMATH DE number 1984174
• An efficient control variate method for pricing variance derivatives
• Variance reduction for MC/QMC methods to evaluate option prices

Cited in

(21)

• A splitting scheme for control variates
• Efficient Monte Carlo pricing of European options using mean value control variates
• A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
• Automatic control variates for option pricing using neural networks
• A general control variate method for Lévy models in finance
• Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
• Monte Carlo variance reduction by conditioning for pricing with underlying a continuous-time finite state Markov process
• Multifidelity approaches for optimization under uncertainty
• Variance derivatives pricing and control variate Monte Carlo method
• Adaptive variance reduction techniques in finance
• Multivariate Batch Means and Control Variates
• Using the continuous price as control variate for discretely monitored options
• scientific article; zbMATH DE number 1984174 (Why is no real title available?)
• Truncated control variates for weak approximation schemes
• scientific article; zbMATH DE number 1390123 (Why is no real title available?)
• Least-square-based control variate method for pricing options under general factor models
• Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
• A multilevel adaptive reaction-splitting simulation method for stochastic reaction networks
• \(t\)-Copula generation for control variates
• An efficient control variate method for pricing variance derivatives

This page was built for publication: A multilevel approach to control variates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3404355)