Chung, San-Lin; Shackleton, Mark - In: Applied Financial Economics 15 (2005) 16, pp. 1171-1179
A study of the use and improvement of Hull and White's (1988) control variate technique in pricing options is provided. It contributes to the literature in two ways. First it is shown that it is not optimal to use the entire error of a control variate against its known price (usually a...