A Class of Control Variates for Pricing Asian Options under Stochastic Volatility Models
نویسنده
چکیده
In this paper we present a strategy to form a class of control variates for pricing Asian options under the stochastic volatility models by the risk-neutral pricing formula. Our idea is employing a deterministic volatility function σ(t) to replace the stochastic volatility σt. Under the Hull and White model[11] and the Heston model[10], the deterministic volatility function σ(t) can be chosen with the same order moment as that of σt, and then a control variate can be derived. The numerical experiments report that our control variates work quite well by showing the standard deviation reduction ratio.
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