Control Variates for Monte Carlo-Pricing of Three-Asset Spread Options with Application in the Energy Markets
The purpose of this paper is to compare a collection of control variates for Monte Carlo-valuation of spread options on three assets with a view towards energy markets and to lay a foundation for continued research on control variates, e.g. combinations of control variates and adaption for quasi-Monte Carlo. The paper builds upon previous research on option pricing using Monte Carlo-simulation and
