Using the continuous price as control variate for discretely monitored options

DOI10.1016/J.MATCOM.2011.09.007MaRDI QIDQ433633zbMATH OpenOpenAlexFDO

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

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)

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• A multilevel approach to control variates
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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A continuity correction for discrete barrier options
• Conditioning on One-Step Survival for Barrier Option Simulations
• Connecting discrete and continuous path-dependent options
• Handbooks in operations research and management science: Financial engineering
• Monte Carlo and quasi-Monte Carlo sampling
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(1)

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

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