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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.

From  Tiziano Vargiolu 7 plays 0  

Lectures 53-54: variance reduction techniques

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

From  Tiziano Vargiolu 15 plays 0