The Use of the Control Variate Technique in Option Pricing

This paper presents a generalized version of the lattice approach to pricing options. It shows how the control variate technique can produce significant improvements in the efficiency of the approach. The control variate technique is illustrated using American puts on dividend and nondividend paying stocks.

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Year of publication:	1988
Authors:	Hull, John ; White, Alan
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 23.1988, 03, p. 237-251
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005609817