Currently displaying 1 – 1 of 1

Showing per page

Order by Relevance | Title | Year of publication

A martingale control variate method for option pricing with stochastic volatility

Jean-Pierre FouqueChuan-Hsiang Han — 2007

ESAIM: Probability and Statistics

A generic control variate method is proposed to price options under stochastic volatility models by Monte Carlo simulations. This method provides a constructive way to select control variates which are martingales in order to reduce the variance of unbiased option price estimators. We apply a singular and regular perturbation analysis to characterize the variance reduced by martingale control variates. This variance analysis is done in the regime where time scales of associated driving volatility...

Page 1

Download Results (CSV)