CAM Stochastic Volatility Model for Option Pricing

Table 2

Sample standard deviation of 50 option estimates obtained by MC and RQMC, with and without martingale control method, and the variance ratio of CV-MC to CV-RQMC.

	MC	RQMC	CV-MC	CV-RQMC	VR ratio
K					193.5
K					770.8
K					463.4