Bernard Lapeyre, Ecole des Mines, Paris

Using Girsanov transform as a variance reduction tools
Date
Nov 16, 2004, 4:30 pm5:30 pm
Location
E219 - Engineering Quadrangle
Event Description

First we review standard ways to use Girsanov theorem to reduce variance in option pricing. Then we introduce a new adaptative variance reduction method. We show how this method can be efficiently implemented for very general payoff and we discuss extensions of the method.

Event Category
ORFE Department Colloquia