processes to the 3/2 model. We also discuss variance reduction techniques and find that conditional Monte Carlo techniques …

We propose a general purpose variance reduction technique for MCMC estimators. The idea is obtained by combining … standard variance reduction principles known for regular Monte Carlo simulations (Ripley, 1987) and the Zero-Variance principle …

Variance reduction is of highest importance in financial simulation. In this study, we present a new and simple … variance reduction technique for pricing discretely monitored lookback and barrier options. It is based on using the …

This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte … if they provide variance reduction, their implementation is computationally intensive and not applicable to realistic …, generally non-orthogonal, combining a lower computational cost with a comparable variance reduction. In addition, we study the …