E cient Monte Carlo Pricing of Basket Options
نویسنده
چکیده
Montecarlo methods can be used to price derivatives for which closed evaluation formulas are not available or di cult to derive. A drawback of the method can be its high computational cost, especially if applied to basket options, whose payo s depend on more than one asset. This article presents two kinds of control variates to reduce variance of estimates, based on unconditional and conditional expectations of assets respectively. We apply the previous variance reduction methods to some basket options (Spread, Dual and Portfolio options), achieving in some case remarkable speed and accuracy in price estimation.
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