We propose new control variates for variance reduction in estimation of mean values using the Metropolis-Hastings algorithm. Traditionally, states that are rejected in the Metropolis-Hastings ...

This is a preview. Log in through your library . Abstract Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic ...

This paper considers two applications of control variates to the Monte Carlo valuation of American options. The main contribution of the paper lies in the particular choice of a control variate for ...

We explore a class of control variates for the American option pricing problem. We construct the control variates by using multivariate adaptive linear regression splines to approximate the option’s ...