文件名称:simulations-whit-control-variates
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Run our simulations for European call and put options using the control variates technique. Tables 10.5 and 10.6 present the simulations results.
We observe that the prices obtained with Monte Carlo simulations are more precise and that the errors have been reduced. The choice of the control variables could be different.
For example, we could use the sensitivity coefficients of options (the Greeks) as in Clewlow and Strickland (1997a)
We observe that the prices obtained with Monte Carlo simulations are more precise and that the errors have been reduced. The choice of the control variables could be different.
For example, we could use the sensitivity coefficients of options (the Greeks) as in Clewlow and Strickland (1997a)
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simulations whit control variates.pdf
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