A Framework for Variance Reduction
Function to apply Inner Control Variates Algorithm.
Block Scholes for Geometric Asian Call Option
Block Scholes for Geometric Asian Call Option
Euclidean Distance
Function to apply Antithetic Variates Algorithm.
An Outer Control Variate function for Asian Call Option.
Function to apply Importance Sampling Algorithm.
Main function for VarRedOpt simulation framework.
In order to make it easy to use variance reduction algorithms for any simulation, this framework can help you. We propose user friendly and easy to extend framework. Antithetic Variates, Inner Control Variates, Outer Control Variates and Importance Sampling algorithms are available in the framework. User can write its own simulation function and use the Variance Reduction techniques in this package to obtain more efficient simulations. An implementation of Asian Option simulation is already available within the package. See Kemal Dinçer Dingeç & Wolfgang Hörmann (2012) <doi:10.1016/j.ejor.2012.03.046>.