Examples.ControlVariates
Class CallControlVariateTest

java.lang.Object
  extended byExamples.ControlVariates.CallControlVariateTest

public class CallControlVariateTest
extends java.lang.Object

The Monte Carlo price and controlled Monte Carlo price price of a European call on a constant volatility asset computed from a sample of 10000 paths of the underlying asset are introduced as random variables in their own right and the variance of these random variables computed.

The two variances are computed from a sample of size 200

The idea is to check if use of the control variate does reduce the variance

The control variate is the discounted price of the underlying asset at exoiration (the default control variate).

Parameters (time to expiration, volatility,...) fixed in source code without user interaction and are chosen so that a high correlation of the call payoff with the control variate prevails (deep in the money call).


Constructor Summary
CallControlVariateTest()
           
 
Method Summary
static void main(java.lang.String[] args)
           
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

CallControlVariateTest

public CallControlVariateTest()
Method Detail

main

public static void main(java.lang.String[] args)