The Use of the Control Variate Technique in Option Pricing

John Hull and Alan White
Authors registered in the RePEc Author Service: Alan White and Alan White ()

Journal of Financial and Quantitative Analysis, 1988, vol. 23, issue 3, 237-251

Abstract: This paper presents a generalized version of the lattice approach to pricing options. It shows how the control variate technique can produce significant improvements in the efficiency of the approach. The control variate technique is illustrated using American puts on dividend and nondividend paying stocks.

Date: 1988
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