A martingale control variate method for option pricing with stochastic volatility

ESAIM - Probability and Statistics

Volumn 11, Issue , 2007, Pages 40-54

  Fouque, Jean Pierre ^a   Han, Chuan Hsiang ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NATIONAL TSING HUA UNIVERSITY   (Taiwan)

Author keywords

Control variates; Monte Carlo; Multiscale asymptotics; Option pricing; Stochastic volatility

Indexed keywords

EID: 34547527107     PISSN: 12928100     EISSN: 12623318     Source Type: Journal    
DOI: 10.1051/ps:2007005     Document Type: Article

References (12)