English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

[[abstract]]A generic control variate method is proposed to price options under stochastic volatility models by Monte Carlo simulations. This method provides a constructive way to select control variates which are martingales in order to reduce the variance of unbiased option price estimators. We apply a singular and regular perturbation analysis to characterize the variance reduced by martingale control variates. This variance analysis is done in the regime where time scales of associated driving volatility processes are well separated. Numerical results for European, Barrier, and American options are presented to illustrate the effectiveness and robustness of this martingale control variate method in regimes where these time scales are not so well separated.[[fileno]]2070106010006[[department]]計量財務金融學

A martingale control variate method for option pricing with stochastic volatility