Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
A variance reduction technique using a quantized Brownian motion as a control variate
Antoine Lejay and Victor Reutenauer
Abstract
ABSTRACT
This paper introduces a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loève decomposition of the underlying Brownian motion. This method can also be used for other Gaussian processes.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net