A Control Variate Method Based On Conditioning

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 19 in Quantitative Methods for Finance with Simulations II, 2026, pp 347-368 from Springer

Abstract: Abstract We introduce a numerical method for pricing of arithmetic average Asian options employing a control variate to reduce variance in the Monte Carlo estimation. In the first section we present a simple example of variance reduction by conditioning as a motivation for the general idea, and in the rest of the chapter we focus on pricing of arithmetic average Asian options.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_19

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DOI: 10.1007/978-3-032-12331-2_19

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