Efficient multiple control variate method with applications to exotic option pricing

DOI10.1080/03610926.2019.1648829OpenAlexW2965675185MaRDI QIDQ5079476

Chun-Xiang A, Yongzeng Lai, Su-Hua Zhang

Publication date: 27 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1648829

zbMATH Keywords

option pricingMonte Carlo methodsvariance reductionexotic optionscontrol variate methods

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• A martingale control variate method for option pricing with stochastic volatility

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