A Framework for Variance Reduction
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Documentation for package ‘VarRedOpt’ version 0.1.0
Help Pages
| BS_Asian_geom | Block Scholes for Geometric Asian Call Option |
| myq_asian | Block Scholes for Geometric Asian Call Option |
| myq_euclidean | Euclidean Distance |
| sim.AV | Function to apply Antithetic Variates Algorithm. |
| sim.GeometricAvg | An Outer Control Variate function for Asian Call Option. |
| sim.InnerCV | Function to apply Inner Control Variates Algorithm. |
| sim.IS | Function to apply Importance Sampling Algorithm. |
| sim.outer | Main function for VarRedOpt simulation framework. |