Monte Carlo Simulation using Control Variates

Sudhakar · September 27th, 2001, 7:22 pm

Hi,Can anybody tell me how to include control variates in a program that implements a scheme for arithmetic average strike calls, capable of using pseudorandom samples, Faure sequence samples, or Niederreiter sequence samples.I need to implement this in Matlab.......

matthewcroberts · October 22nd, 2001, 3:46 pm

Sudhaker,The best description that I've ever seen is in Boyle, Broadie and Glasserman, The Journal of Economic Dynamics and Control, v21, pp1267--1321. If you are at a University, it is available from www.elsevier.comG'Luck,Matt.