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The Use of the Control Variate Technique in Option Pricing

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Author Info
Hull, John
White, Alan

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Abstract

This paper presents a generalized version of the lattice approach to pricing options. It shows how the control variate technique can produce significant improvements in the efficiency of the approach. The control variate technique is illustrated using American puts on dividend and nondividend paying stocks.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 23 (1988)
Issue (Month): 03 (September)
Pages: 237-251
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Handle: RePEc:cup:jfinqa:v:23:y:1988:i:03:p:237-251_01

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  1. Leisen, Dietmar, 1996. "Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models," Discussion Paper Serie B 366, University of Bonn, Germany, revised Jul 1996. [Downloadable!]
  2. Rachel A. Campbell & Roman Kräussl, 2006. "Does Patience Pay? Empirical Testing of the Option to Delay Accepting a Tender Offer in the U.S. Banking Sector," CFS Working Paper Series 2006/32, Center for Financial Studies. [Downloadable!]
  3. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
  4. Doriana Ruffino, 2007. "Resuscitating The Businessman Risk: A Rationale For Familiarity-Based Portfolios," Boston University - Department of Economics - Working Papers Series WP2007-037, Boston University - Department of Economics. [Downloadable!]
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This page was last updated on 2009-12-3.

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