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Examples.ControlVariates
See:
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. 
Examples.ControlVariates
LiborDerivative
has a main
method which checks the correlation of the derivative payoff to its control
variate. These provide further examples.


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