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Section: New Results

Keywords : Monte-Carlo, variance reduction.

Monte Carlo simulations and variance reduction techniques

Participants : N. Moreni, B. Lapeyre.

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 [27] . He has also investigated a variance reduction technique for the Longstaff-Schwartz algorithm for American option pricing [17] . This technique is based on an extension of B. Arouna's work [2] , [62] to the case of American options.


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