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zukimaten
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Posts: 77
Joined: September 28th, 2013, 6:36 am

Control variate for heston model

September 29th, 2013, 7:32 am

Hi all,I'm looking for a control variate for vanilla call in the Heston model. I've tried B.S with implied volatility, average volatility and long term volatility all without great success. Have any of you got an idea? Thanks.
 
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jherekhealy
Posts: 12
Joined: December 11th, 2017, 2:25 pm

Re: Control variate for heston model

June 4th, 2020, 9:59 am

This is somewhat old, but I can, share a few results presented in my book in the context of LV:
* some simple candidates are forward price or atm option.
* the discretization in time error may impact the choice of control variate. The forward price control variate is good in this sense.
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