@inproceedings{be7918ed81354c959537371fc9f07871,
title = "Variance reduction techniques for basket option",
abstract = "This paper prices the basket option by Monte Carlo simulation. With the comparison of the methods used as variance reduction techniques, to find the optimal way for reducing variance for basket option.The methods include antithetic variates, control variates,importance sampling,stratified sampling,moment matching, Latin hypercube sampling and combined methods. Numerical results indicate that an appropriate combination of importance sampling and stratified sampling can obtain the largest variance reductions when estimating the basket option.",
keywords = "Basket option, Importance sampling, Monte Carlo, Stratified sampling, Variance reduction techniques",
author = "Haijun Yang and Sa An",
year = "2010",
doi = "10.1109/ICMSS.2010.5578221",
language = "英语",
isbn = "9781424453269",
series = "2010 International Conference on Management and Service Science, MASS 2010",
booktitle = "2010 International Conference on Management and Service Science, MASS 2010",
note = "2010 International Conference on Management and Service Science, MASS 2010 ; Conference date: 24-08-2010 Through 26-08-2010",
}