The Use of the Control Variate Technique in Option Pricing
- 1 September 1988
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 23 (3) , 237
- https://doi.org/10.2307/2331065
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.Keywords
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