Control variates - PowerPoint PPT Presentation

Mat-2.170 Simulation spring 2005

Mat-2.170 Simulation spring 2005. Variance reduction techniques. Outline. Variance reduction Common random numbers Antithetic variates Control variates Indirect estimation Conditioning. Variance reduction. Analyzing large-scale simulations may require great amounts of computer time

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391 views • 37 slides

Lectures 3 – Monte Carlo method in finance: Lab

Lectures 3 – Monte Carlo method in finance: Lab . The goals: create a VBA package/framework to price exotic options via Monte Carlo method and its modifications (i.e. variance reduction techniques). create an excel file to be used as a front end for pricing options.

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329 views • 11 slides

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