%0 Journal Article
%T Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options
%A Qiang Zhao
%A Guo Liu
%A Guiding Gu
%J Journal of Mathematical Finance
%P 431-436
%@ 2162-2442
%D 2013
%I Scientific Research Publishing
%R 10.4236/jmf.2013.34045
%X <p align=\"justify\">
	<span><span style=\"font-family:Verdana;\">In this paper we discuss the importance sampling Monte Carlo methods for pricing options. The classical importance sampling method is used to eliminate the variance caused by the linear part of the logarithmic function of payoff. The variance caused by the quadratic part is reduced by stratified sampling. We eliminate both kinds of variances just by importance sampling. The corresponding space for the </span><span style=\"font-family:Verdana;\">eigenvalues </span></a><span style=\"font-family:Verdana;\">of the Hessian matrix of the logarithmic function of payoff is enlarged. Computational Simulation shows the high efficiency of the new method.</span></span> 
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%K Monte Carlo Method
%K Importance Sampling
%K Variance Reduction
%K Option Pricing
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=38146