The Use of the Control Variate Technique in Option Pricing
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.
Year of publication: |
1988
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Authors: | Hull, John ; White, Alan |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 23.1988, 03, p. 237-251
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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