  Weighted Monte Carlo prices exotic options calibrating the probabilities of
previously generated paths by a regular Monte Carlo to fit a set of option
premiums. When only vanilla call and put options and forward prices are
considered, the Martingale condition might not be preserved. This paper shows
that this is indeed the case and overcomes the problem by adding additional
synthetic options. A robust, fast and easy-to-implement calibration algorithm
is presented. The results are illustrated with a geometric cliquet option which
shows how the price impact can be significant.
