A variance reduction technique based on integral representations

DOI10.1088/1469-7688/2/5/305zbMath1405.91696OpenAlexW2070909974MaRDI QIDQ4646798

Eckhard Platen, David C. Heath

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/5/305

zbMATH Keywords

integral representationsItô calculusvariance reduction techniquepricing of European derivative securities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

JDOI variance reduction method and the pricing of American-style options ⋮ Pricing barrier options in the Heston model using the Heath-Platen estimator ⋮ Stratified regression-based variance reduction approach for weak approximation schemes ⋮ A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion

Cites Work

• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• On weak implicit and predictor-corrector methods
• Martingales versus PDEs in finance: an equivalence result with examples
• Variance Reduction for Simulated Diffusions
• Option Pricing Under Incompleteness and Stochastic Volatility
• Quasi-Monte Carlo Methods in Numerical Finance
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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