Variance derivatives pricing and control variate Monte Carlo method

DOI10.3969/J.ISSN.0253-374X.2009.12.026zbMATH Open1224.91182MaRDI QIDQ3072844FDOQ3072844

Authors Jun Mei Ma, Jing Zhou, Chenglong Xu 

Publication date 5 February 2011

zbMATH Keywords

control variateMonte Carlo methodstochastic volatilityderivativesvariance swap

Mathematics Subject Classification ID

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

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