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VarRedOpt  

A Framework for Variance Reduction
View on CRAN: Click here


Download and install VarRedOpt package within the R console
Install from CRAN:
install.packages("VarRedOpt")

Install from Github:
library("remotes")
install_github("cran/VarRedOpt")

Install by package version:
library("remotes")
install_version("VarRedOpt", "0.1.0")



Attach the package and use:
library("VarRedOpt")
Maintained by
Onur Boyar
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-12-08
Latest Update: 2020-12-08
Description:
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>.
How to cite:
Onur Boyar (2020). VarRedOpt: A Framework for Variance Reduction. R package version 0.1.0, https://cran.r-project.org/web/packages/VarRedOpt. Accessed 07 Nov. 2024.
Previous versions and publish date:
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Complete documentation for VarRedOpt
Functions, R codes and Examples using the VarRedOpt R package
Some associated functions: BS_Asian_geom . myq_asian . myq_euclidean . sim.AV . sim.GeometricAvg . sim.IS . sim.InnerCV . sim.outer . 
Some associated R codes: BlockScholesforGeometricAsianCallOption.R . myq_asian.R . myq_euclidean.R . simAV.R . simGeometricAVG.R . simIS.R . simInnerCV.R . simulateOuter.R .  Full VarRedOpt package functions and examples
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