A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance

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• 作者：Kenichiro Shiraya ; ^{kenichiro.shiraya@gmail.com} ; Akihiko Takahashi ^{akihikot@e.u-tokyo.ac.jp}
• 关键词：Control variate ; Asymptotic expansion ; Multi-asset options ; Monte Carlo simulation ; Stratified sampling
• 刊名：European Journal of Operational Research
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：258
• 期：1
• 页码：358-371
• 全文大小：699 K
• 卷排序：258

文摘

We present a new control variate method based on an asymptotic expansion technique. It is applicable in a unified way to functions of a broad class of SDEs with jumps. It does not require explicit characteristic functions of SDEs. We provide the asymptotic bias and variance for our new method. Numerical experiments confirm our method works very well for multi-asset options.