Efficient multiple control variate method with applications to exotic option pricing

DOI10.1080/03610926.2019.1648829MaRDI QIDQ5079476zbMATH OpenOpenAlexFDO

Authors Chun-Xiang A, Yongzeng Lai, Su-Hua Zhang

Publication date 27 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1648829

zbMATH Keywords

option pricingvariance reductionMonte Carlo methodsexotic optionscontrol variate methods

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A martingale control variate method for option pricing with stochastic volatility
• A smooth estimator for MC/QMC methods in finance
• Handbooks in operations research and management science: Simulation
• Monte Carlo methods.
• Prices and sensitivities of Asian options: A survey
• Pricing equity-indexed annuities with path-dependent options.
• Pricing of arithmetic basket options by conditioning.
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Stochastic simulation: Algorithms and analysis
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited in

(1)

• Control variates and conditional Monte Carlo for basket and Asian options

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