Using the continuous price as control variate for discretely monitored options

DOI10.1016/J.MATCOM.2011.09.007zbMATH Open1242.91186OpenAlexW1973137132MaRDI QIDQ433633FDOQ433633

Authors: Kemal Dinçer Dingeç, Wolfgang Hörmann 

Publication date: 5 July 2012

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2011.09.007

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zbMATH Keywords

option pricingvariance reductioncontrol variatepath dependent options

Mathematics Subject Classification ID

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

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Monte Carlo and quasi-Monte Carlo sampling
• A continuity correction for discrete barrier options
• Title not available (Why is that?)
• Connecting discrete and continuous path-dependent options
• Handbooks in operations research and management science: Financial engineering
• Conditioning on One-Step Survival for Barrier Option Simulations

Cited In (1)

• A general control variate method for option pricing under Lévy processes

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