Section: New Results
Keywords : Monte-Carlo, variance reduction.
Monte Carlo simulations and variance reduction techniques
Nicola Moreni studies variance reduction techniques for option pricing based on Monte Carlo simulation. In particular, in a joint project with the University of Pavia (Italy), he applies path integral techniques to the pricing of path-dependent European options  . He has also investigated a variance reduction technique for the Longstaff-Schwartz algorithm for American option pricing  . This technique is based on an extension of B. Arouna's work  ,  to the case of American options.