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

DOI10.1007/S102030170002MaRDI QIDQ1601356zbMATH OpenOpenAlexFDO

Authors R. Smith, Paolo Pellizzari

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

multifactor optionsvariance reduction method

Mathematics Subject Classification ID

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

Recommendations

• A multilevel approach to control variates
• Variance reduction for MC/QMC methods to evaluate option prices
• Variance derivatives pricing and control variate Monte Carlo method
• An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
• Control variates and conditional Monte Carlo for basket and Asian options

Cited in

(23)

• Static hedging of multivariate derivatives by simulation
• Automatic control variates for option pricing using neural networks
• Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
• Control variates and conditional Monte Carlo for basket and Asian options
• The Excel method of American put option pricing based on the control variable technique
• Asymptotics beats Monte Carlo: the case of correlated local vol baskets
• Variance derivatives pricing and control variate Monte Carlo method
• A multilevel approach to control variates
• Pricing and hedging basket options with exact moment matching
• Accurate closed-form approximation for pricing Asian and basket options
• Variance reduction for multiple option parameters
• Amostragem descritiva no apreçamento de opções européias através de simulação Monte Carlo: o efeito da dimensionalidade e da probabilidade de exercício no ganho de precisão
• Variance reduction for MC/QMC methods to evaluate option prices
• Using the continuous price as control variate for discretely monitored options
• 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
• Numerical Valuation of High Dimensional Multivariate European Securities
• 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
• A martingale control variate method for option pricing with stochastic volatility
• Importance sampling techniques for a European option
• \(t\)-Copula generation for control variates
• An efficient control variate method for pricing variance derivatives

This page was built for publication: Efficient Monte Carlo pricing of European options using mean value control variates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1601356)