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Efficient Monte Carlo pricing of European options¶using mean value control variates
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References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 1998A Closed-Form Approximation for Valuing Basket Options116 cited
  • 1995Numerical Valuation of High Dimensional Multivariate European Securities73 cited
  • 1997Recent Advances in Numerical Methods for Pricing Derivative Securities60 cited
  • 1998Monte Carlo : methodologies and applications for pricing and risk management38 cited
  • 1999Importance Sampling in the Heath-Jarrow-Morton Framework31 cited

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