solutions are generally not possible. In doing so, we provide a novel perspective on the control variate methods by going …). Closed form solutions for the price of a bond option under deterministic volatility specifications are derived and a control … variate numerical method is developed under a more general state dependent volatility structure, a case in which closed form …

evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming …

We present a general control variate method for simulating path dependent options under Lévy processes. It is based on …

with a discrete and finite decision space. Control variate (CV) is a variance reduction technique that requires no …

corresponding continuously monitored option as external control variate. To obtain the value of the continuously monitored price …

distributed sample. However, if some control variate is available, it is known that the control variate method reduces the … variance of the sample mean. The control variate method often assumes that the variable of interest and the control variable ….e. dependent. Then we propose an estimator of the mean of the stationary process of interest by using control variate method based on …

The paper develops an efficient Monte Carlo method to price discretely monitored Parisian options based on a control … variate approach. The paper also modifies the Parisian option design by assuming the option is exercised when the barrier …