Zhao, Q., Liu, G. and Gu, G. (2013) Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options. Journal of Mathematical Finance, 3, 431-436.
http://dx.doi.org/10.4236/jmf.2013.34045

has been cited by the following article:

• TITLE: Improved Variance Reduced Monte-Carlo Simulation of in-the-Money Options

  AUTHORS: Armin Müller

  KEYWORDS: Monte-Carlo Simulation, Variance Reduction, Importance Sampling, Put-Call-Parity, Asian Option

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.3, August 2, 2016

  ABSTRACT: Pricing derivatives with Monte-Carlo simulations involve standard errors that typically decrease at a rate proportional to where N is the sample size. Several approaches have been discussed to reduce the empirical variance for a given sample size. This article analyzes the joint application of the put-call-parity approach and importance sampling to variance reduced option pricing. For this purpose, we examine non-path-dependent and path-dependent options. For European options, we observe dramatic variance reduction, especially for in-the-money options. Also for arithmetic Asian options, a significant variance reduction is achieved.