A Simple Control Variate Method for Options Pricing with Stochastic Volatility Models
نویسندگان
چکیده
In this paper we present a simple control variate method, for options pricing under stochastic volatility models by the risk-neutral pricing formula, which is based on the order moment of the stochastic factor Yt of the stochastic volatility for choosing a non-random factor Y (t) with the same order moment. We construct the control variate using a stochastic differential equation with a deterministic diffusion coefficient as the price process of the underlying asset. Numerical experiment results show that our method achieves better variance reduction efficiency, than that of the constant volatility control variate method, and simpler computation, than that of the martingale control variate method[4], and it has a promising wider-range application than the previous method proposed by Ma and Xu(2010)[10], and Du et al.(2013)[2].
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