Malaguti, Luisa; Torricelli, Costanza - In: Decisions in Economics and Finance 24 (2001) 2, pp. 137-152
We describe in this paper a variance reduction method based on control variates. The technique uses the fact that, if all stochastic assets but one are replaced in the payoff function by their mean, the resulting integral can most often be evaluated in closed form. We exploit this idea by...
