2024/02/19 by Andrzej Daniluk, Daniluk, Andrzej, Evgeny Lakshtanov +3
Economics, Econometrics and Finance · #FOS: Economics and business #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2402.12528
openalex publication_date 2024/02/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling framework and concerns a broad class of payoffs, including path-dependent and multi-asset cases. Most importantly, it allows to reduce the Monte Carlo error even by an order of magnitude, which is shown in several numerical examples.