Many pricing problems boil down to the computation of a high dimensional integral, which is usually estimated using Monte Carlo. In fact, the accuracy of a Monte Carlo estimator with M simulations is given by σ √ M. Meaning that its convergence is immune to the dimension of the problem. However, this convergence can be relatively slow depending on the variance σ of the function to be integrated. To resolve such a problem, one would perform some variance reduction techniques such as importance sampling, stratification, or control variates. In this paper, we will study two approaches for improving the convergence of Monte Carlo using Neural Networks. The first approach relies on the fact that many high dimensional financial problems are of low effective dimensions[15]. We expose a method to reduce the dimension of such problems in order to keep only the necessary variables. The integration can then be done using fast numerical integration techniques such as Gaussian quadrature. The second approach consists in building an automatic control variate using neural networks. We learn the function to be integrated (which incorporates the diffusion model plus the payoff function) in order to build a network that is highly correlated to it. As the network that we use can be integrated exactly, we can use it as a control variate.