Using the continuous price as control variate for discretely monitored options (Q433633)
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scientific article; zbMATH DE number 6053453
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| English | Using the continuous price as control variate for discretely monitored options |
scientific article; zbMATH DE number 6053453 |
Statements
Using the continuous price as control variate for discretely monitored options (English)
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5 July 2012
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option pricing
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path dependent options
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variance reduction
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control variate
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0.8037790060043335
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0.7852795720100403
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0.7802180051803589
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0.7729285359382629
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0.7693076133728027
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