Package Examples.ControlVariates

Package description: Examples.ControlVariates

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          Description

Class Summary
CallControlVariateTest 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.
ControlVariateTest_1 We set up the random variable X=U+eN where U is uniform on [0,1], N standard normal and independent of U and e=0.1.
ControlVariateTest_2 Compares a Monte Carlo mean to a Monte Carlo mean computed using a * control variate.
DefaultCVMeanTest Console program testing wether our formula for the mean of the default control variate (of an option) is correct.
 

Package Examples.ControlVariates Description

Package description: Examples.ControlVariates

This package contains programs which check the benefit of using control variates and others which are tests to check the control variates themselves (ie. check if the control variate mean is implemented correctly). Please note that every LiborDerivative has a main method which checks the correlation of the derivative payoff to its control variate. These provide further examples.