Search for tag: "monte carlo error"

Lecture 5-2: Variance Reduction Techniques

• Principles and rationale. • Control Variates

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Lectures 65-66: discretization and Monte Carlo errors

Discretization error and Monte Carlo error. Acceleration techniques. Introduction to MATLAB. Pricing of an Asian option: a horse-race among VBA, MATLAB and parallelized MATLAB codes.

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Lectures 53-54: variance reduction techniques

Variance reduction techniques: control variables, antithetic variables,importance sampling. Implementation in VBA.

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Lecture 48: the Monte Carlo method

The Monte Carlo method. Monte Carlo estimator and error.

From  Tiziano Vargiolu 9 plays 0