BLACK F, SCHOLES M. The Pricing of Options and Corporate Liabilities [J]. The Journal of Political Economy, 1973, 81(3): 637-654. doi: 10.1086/260062
GLASSERMAN P. Monte Carlo Methods in Financial Engineering [M]. Beijing: Higher Education Press, 2008.
KEMNA A G Z, VORST A C F. A Pricing Method for Options Based on Average Asset Values [J]. Journal of Banking and Finance, 1990, 14(1): 123-129.
BARRAQUAND J. Numerical Valuation of High Dimensional Multivariate European Securities [J]. Management Science, 1995, 41(12): 1882-1891. doi: 10.1287/mnsc.41.12.1882
PELLIZARI P. Efficient Monte Carlo Pricing of European Options Using Mean Value Control Variates [J]. Decisions in Economics and Finance, 2001, 24(2): 107-126. doi: 10.1007/s102030170002
BOROGOVAC T, VAKILI P. Control Variate Technique: A Constructive Approach [C]// Simulation Conference, 2008. New York: IEEE Computer Society Press, 2008: 320-327.
DINGEÇ K D, HÖRMANN W. Control Variates and Conditional Monte Carlo for Basket and Asian Options [J]. Insurance: Mathematics and Economics, 2013, 52(3): 421-434. doi: 10.1016/j.insmatheco.2013.03.002
MEHRDOUST F, BABAEI S, FALLAH S. Efficient Monte Carlo Option Pricing under CEV Model [J]. Communication in Statistics-Simulation and Computation, 2017, 46(3): 2254-2266. doi: 10.1080/03610918.2015.1040497
HÄRDLE W, SIMAR L. Applied Multivariate Statistical Analysis [M]. Berlin: Springer Press, 2003.
L'ECUYER P, PARENT-CHARTIER J S, DION M. Simulation of a Lévy Process by PCA Sampling to Reduce the Effective Dimension [C]// Proceedings of the 2008 Winter Simulation Conference. New York: IEEE Computer Society Press, 2009: 436-443.
姜礼尚.期权定价的数学模型和方法[M]. 2版.北京:高等教育出版社, 2008.
AKESSON F, LEHOCZKY J. Discrete Eigenfunction Expansion of Multi-Dimensional Brownian Motion and the Ornstein-Uhlenbeck Process [J]. Eprint Arxiv, 1998, 7(4): 729-738.
KAMIZONO K, KARIYA T, LIU RY, et al. A New Control Variate Estimator for an Asian Option [J]. Asian-Pacific Financial Markets, 2004, 11(2): 143-160. doi: 10.1007/s10690-006-9007-8
TURNBULL S, WAKEMAN L. A Quick Algorithm for Pricing European Average Options [J]. Journal of Financial and Quantitative Analysis, 1991, 26(3): 377-389. doi: 10.2307/2331213