Han, Chuan-Hsiang; Lai, Yongzeng - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 536-550
We investigate the effect of martingale control as a smoother for MC/QMC methods. Numerical results of estimating low-biased solutions for American put option prices under the Black–Scholes model demonstrate that using QMC methods can be problematic. But it can be fixed by adding a (local)...