Machine Learning for Finance (FIN-418 EPFL) final project: Comparison of different option pricers for the Heston model
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Jan 11, 2021 - Jupyter Notebook
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antithetic-variates
Here are 7 public repositories matching this topic...
An R Library published on CRAN for variance reduction algorithms.
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Dec 6, 2020 - R
This project focuses on applying advanced simulation methods for derivatives pricing. It includes Monte-Carlo, Variance Reduction Techniques, Distribution Sampling Methods, Euler Schemes, and Milstein Schemes.
von-neumann monte-carlo variance-reduction derivatives-pricing stratified-sampling control-variates acceptance-rejection antithetic-variates euler-schemes inverse-transform-method milstein
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Jul 9, 2024 - Jupyter Notebook
Vrednovanje azijskih opcija
finance options monte-carlo-simulation option-pricing exotic-option financial-mathematics montecarlo-simulation control-variates asian-option antithetic-variates
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Feb 1, 2024 - R
Sampling and resampling techniques for random sample generation, estimation, and simulation
python bootstrap estimate simulation monte-carlo sampling resampling jackknife monte-carlo-sampling sampling-methods resampling-methods latin-hypercube-sampling antithetic-variates
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May 15, 2020 - Python
University Project: simulation techniques to price derivatives. It will involve Monte-Carlo, variance-reduction techniques, and advanced simulation methods.
von-neumann monte-carlo variance-reduction derivatives-pricing stratified-sampling control-variates antithetic-variates inverse-transform-method
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Aug 19, 2022
Antithetic Variates for Monte Carlo Variance Reduction
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May 3, 2023 - R
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