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- W4387428082 abstract "Option pricing has been examed in various methods, and the Black-Scholes model and the Monte Carlo simulation became the basic theory of most researchers. However, there are still few analyses about the accuracy of the Control Variate Monte Carlo method compared to the traditional Monte Carlo method, which make the issue interesting. In order to show the accuracy improvement from introducing the Control Variate technique, this paper selected particular stock, corresponding option contracts and risk-free rates from various resources. Then process both the Monte Carlo simulation and the Control Variate Monte Carlo simulation to estimate option prices. The results in this paper claim that the Control Variate technique significantly increased the accuracy of estimation and efficiently reduced the estimated samples’ standard error. The results in this papar may be of great interest to related investors in the financial markets." @default.
- W4387428082 created "2023-10-08" @default.
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- W4387428082 date "2023-01-01" @default.
- W4387428082 modified "2023-10-09" @default.
- W4387428082 title "The Application of Control Variate Technique on the Monte Carlo Simulation Option pricing and Accuracy Check" @default.
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- W4387428082 doi "https://doi.org/10.1007/978-981-99-6441-3_130" @default.
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