BFS 2002 

Contributed Talk 
Bouhari Arouna
We present in our paper an original variance reduction technique for Monte Carlo methods.
By an elementary version of Girsanov theorem, we introduce a drift term in the price computation. Afterwards our main idea is to use a truncated version of the RobbinsMonro algorithm to find the optimal drift that reduce variance. We proved that for a large class of payoff functions, this version of the RM algorithm converges a.s. to the optimal drift. Then we illustrate the method by an application to some options pricing.