Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21
variates is more effective for puts than calls, and since symmetric pricing already offers some variance reduction, we … variance reduction techniques in a symmetric pricing approach. This reduces the standard deviation by a factor of over 20 for …-sample pricing but also hold when using an out-of-sample pricing approach. …