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Monte Carlo Simulation using Control Variates

Posted: September 27th, 2001, 7:22 pm
by Sudhakar
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.......

Monte Carlo Simulation using Control Variates

Posted: October 22nd, 2001, 3:46 pm
by matthewcroberts
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.