The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The Use of the Control Variate Technique in Option Pricing
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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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
The impact of default risk on the prices of options and other derivative securities
Hull, J., & White, A. (1995) · Journal of Banking & Finance · doi:10.1016/0378-4266(94)00050-d · Cited by 324
Self-citationAn introduction to numerical methods for stochastic differential equations
Platen, E. (1999) · Acta Numerica · doi:10.1017/s0962492900002920 · Cited by 273
Metadata
- Authors
- Hull, J., & White, A.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1988-09
- Volume
- 23
- Issue
- 3
- Pages
- 237
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2154092206
- Cited by
- 204
- References
- 1
- FWCI
- 6.84
- Type
- journal article
- Language
- en
- Open access
- closed
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- The paper
- Hull, J., & White, A. (1988). The Use of the Control Variate Technique in Option Pricing. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2331065
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
