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

Monte Carlovariance reductionderivative pricingAsian option

Mathematics Subject Classification ID

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

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Cited in

(21)

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

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