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A variance reduction technique using a quantized Brownian motion as a control variate

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  • Antoine Lejay and Victor Reutenauer

Abstract

ABSTRACT This paper introduces a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loève decomposition of the underlying Brownian motion. This method can also be used for other Gaussian processes.

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  • Antoine Lejay and Victor Reutenauer, . "A variance reduction technique using a quantized Brownian motion as a control variate," Journal of Computational Finance, Journal of Computational Finance.
    • Handle: RePEc:rsk:journ0:2219905
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