Package: VarRedOpt 0.1.0
VarRedOpt: A Framework for Variance Reduction
In order to make it easy to use variance reduction algorithms for any simulation, this framework can help you. We propose user friendly and easy to extend framework. Antithetic Variates, Inner Control Variates, Outer Control Variates and Importance Sampling algorithms are available in the framework. User can write its own simulation function and use the Variance Reduction techniques in this package to obtain more efficient simulations. An implementation of Asian Option simulation is already available within the package. See Kemal Dinçer Dingeç & Wolfgang Hörmann (2012) <doi:10.1016/j.ejor.2012.03.046>.
Authors:
VarRedOpt_0.1.0.tar.gz
VarRedOpt_0.1.0.zip(r-4.5)VarRedOpt_0.1.0.zip(r-4.4)VarRedOpt_0.1.0.zip(r-4.3)
VarRedOpt_0.1.0.tgz(r-4.4-any)VarRedOpt_0.1.0.tgz(r-4.3-any)
VarRedOpt_0.1.0.tar.gz(r-4.5-noble)VarRedOpt_0.1.0.tar.gz(r-4.4-noble)
VarRedOpt_0.1.0.tgz(r-4.4-emscripten)VarRedOpt_0.1.0.tgz(r-4.3-emscripten)
VarRedOpt.pdf |VarRedOpt.html✨
VarRedOpt/json (API)
NEWS
| # Install 'VarRedOpt' in R: |
| install.packages('VarRedOpt', repos = c('https://onurboyar.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/onurboyar/varredopt/issues
antithetic-variatesasian-optionimportance-samplingsimulationvariance-reduction
Last updated 4 years agofrom:5b4624660a. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 01 2024 |
| R-4.5-win | OK | Nov 01 2024 |
| R-4.5-linux | OK | Nov 01 2024 |
| R-4.4-win | OK | Nov 01 2024 |
| R-4.4-mac | OK | Nov 01 2024 |
| R-4.3-win | OK | Nov 01 2024 |
| R-4.3-mac | OK | Nov 01 2024 |
Exports:BS_Asian_geommyq_asianmyq_euclideansim.AVsim.GeometricAvgsim.InnerCVsim.ISsim.outer
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Block Scholes for Geometric Asian Call Option | BS_Asian_geom |
| Block Scholes for Geometric Asian Call Option | myq_asian |
| Euclidean Distance | myq_euclidean |
| Function to apply Antithetic Variates Algorithm. | sim.AV |
| An Outer Control Variate function for Asian Call Option. | sim.GeometricAvg |
| Function to apply Inner Control Variates Algorithm. | sim.InnerCV |
| Function to apply Importance Sampling Algorithm. | sim.IS |
| Main function for VarRedOpt simulation framework. | sim.outer |
