Lecture Computational Finance / Numerical Methods 32: Control Variates
Channel: finmath
Date: 2021-07-14

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 32: Variance Reduction: Control Variates

A short session on control variates with a nice code session exploring a control variate for the valuation of an exotic option under the Black-Scholes model.

- Control Variates
- Variance Reduction
- Example: A control variate for an exotic payoff under the Black-Scholes model
- Code session