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A new variance reduction method for option pricing based on sampling the vertices of a simplex

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  • Jong Jun Park
  • Geon Ho Choe

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  • Jong Jun Park & Geon Ho Choe, 2016. "A new variance reduction method for option pricing based on sampling the vertices of a simplex," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1165-1173, August.
    • Handle: RePEc:taf:quantf:v:16:y:2016:i:8:p:1165-1173
    DOI: 10.1080/14697688.2015.1116710
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    References listed on IDEAS

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    1. Athanassios N. Avramidis & James R. Wilson, 1996. "Integrated Variance Reduction Strategies for Simulation," Operations Research, INFORMS, vol. 44(2), pages 327-346, April.
    2. Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May.
    3. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    4. Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 237-251, September.
    5. Athanassios N. Avramidis & James R. Wilson, 1998. "Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments," Operations Research, INFORMS, vol. 46(4), pages 574-591, August.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Huei-Wen Teng & Ming-Hsuan Kang, 2022. "On Accelerating Monte Carlo Integration Using Orthogonal Projections," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1143-1168, June.

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