sim.GeometricAvg: An Outer Control Variate function for Asian Call Option.

In VarRedOpt: A Framework for Variance Reduction

Description

# Applies geometric average asian call outer control varites algorithm to the simulation. Gets expected value for the control variate using BS_Asian_geom function if IS algorithm is within the framework, the length of the q.ga will be different. Checks if IS algorithm is within the framework and applies IS weight accordingly.

Usage

sim.GeometricAvg(zm, q.ga, ...)

Arguments

zm	A matrix with dimension d and length n.
q.ga	q function that sim.GeometricAvg function gets target vectors to apply variance reduction.
...	ellipsis parameter. different parameters can be passed depending on the problem.

Value

Updates Y value which stored in list 'results' and returns the list 'results' with updated Y value.

Examples

 sim.outer(n=1e3, d=3, q.outer = sim.GeometricAvg,
q.ga = myq_asian, K=100, ti=(1:3/12), r=0.03, sigma=0.3, S0=100)

sim.outer(n=1e3, d=1, q.outer = sim.AV, q.av = sim.GeometricAvg,
q.ga = myq_asian, K=90, ti=(1:1/12), r=0.03, sigma=0.3, S0=100)

VarRedOpt documentation built on Dec. 8, 2020, 5:07 p.m.