Efficient Simulation for Pricing Barrier Options with Two-Factor Stochastic Volatility and Stochastic Interest Rate

Table 3

Comparison of the standard errors among the different Monte Carlo techniques for pricing DOC options, where time steps and barrier .

		Basic algorithm	Control variates	Antithetic variates	Hybrid algorithm
80	1000	0.6548	0.3167	0.4248	0.1047
	10000	0.2079	0.1012	0.1334	0.0342
	100000	0.0657	0.0312	0.0428	0.0114
100	1000	0.4671	0.2317	0.3323	0.0112
	10000	0.1502	0.0689	0.1098	0.0248
	100000	0.0478	0.0219	0.0355	0.0077
120	1000	0.2843	0.1418	0.2454	0.0456
	10000	0.0929	0.0437	0.0850	0.0152
	100000	0.0298	0.0136	0.0276	0.0049