Control Variate Remedies

Variance analysis of control variate technique and applications in Asian option ‎pricing‎

This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of correlation between two random variables is shown. We propose an efficient method for choose suitable control in pricing arithmetic Asian options based on the control variates (CV). The numerical experiment shows ...

A New Control Chart to Monitor Mean Shifts of Bi-Variate Quality Control Processes

Application of Decision on Beliefs for Fault Detection in uni-variate Statistical Process Control

In this research, the decision on belief (DOB) approach was employed to analyze and classify the states of uni-variate quality control systems. The concept of DOB and its application in decision making problems were introduced, and then a methodology for modeling a statistical quality control problem by DOB approach was discussed. For this iterative approach, the belief for a system being out-...

Control-Variate Estimation Using Estimated Control Means

We study control variate estimation where the control mean itself is estimated. Control variate estimation in simulation experiments can significantly increase sampling efficiency, and has traditionally been restricted to cases where the control has a known mean. In a previous paper (Schmeiser, Taaffe, and Wang 2000), we generalized the idea of control variate estimation to the case where the c...

Generalized Control Variate Methods for Pricing Asian Options

The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes model can be interpreted as a particular selection of linear martingale controls. We generalize the constant control parameter into a control process to gain more reduction on variance. By means of an option price approximation, we construct a martingale control variate m...