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The Use of the Control Variate Technique in Option Pricing

Published online by Cambridge University Press:  06 April 2009

John Hull  and
Alan White
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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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 23 , Issue 3 , September 1988 , pp. 237 - 251
Copyright
Copyright © School of Business Administration, University of Washington 1988

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