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Knowledge Base » Optimal Use of Asset Share as a Control Variate

Optimal Use of Asset Share as a Control Variate

Document ID: 2005-301 (previously 2005/014)
Published on: 30th September 2005
Author: Steven Morrison

Control variates provide a way of reducing sampling error in a Monte Carlo simulation. In this note we consider the simplest possible control variate – the underlying asset share.

• Model
  • 2 Factor Black Karasinski Model
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  • Constant Volatility Model
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Other categories

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