Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
A variance reduction technique using a quantized Brownian motion as a control variate
Antoine Lejay and Victor Reutenauer
Abstract
ABSTRACT
This paper introduces a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loève decomposition of the underlying Brownian motion. This method can also be used for other Gaussian processes.
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