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...
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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Updated
Jul 9, 2024 - Jupyter Notebook
An R Library published on CRAN for variance reduction algorithms.
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Dec 6, 2020 - R
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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Updated
Feb 1, 2024 - R
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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Updated
Aug 19, 2022
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
Antithetic Variates for Monte Carlo Variance Reduction
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Updated
May 3, 2023 - R
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