I have priced an Asian put option with three underlying correlated stocks. Now I want to try to reduce the variance using control variates. I have found great ideas when there is one underlying (thus having the geometric Asian opition as a control variate). Is there any clean and simple way for doing this when there are more than one underlying?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.