BFS 2002

Poster Presentation

Everything is not lost ... The Model Control Variate Methodology

Adil Reghai, Bernard Bergeron

You have just developed a new way to compute prices of derivative securities, and your old Monte Carlo pricer is now of no use. You think everything is lost... the Model Control Variate methodology will surely help you. In this document we present an efficient way to increase the accuracy of a Monte Carlo procedure -as in the control variate methodology- if you have closed formulae for the prices of the same product with a different model.