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euler-schemes

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anthonyli01 / Advanced-Simulation-Methods

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This project focuses on applying advanced simulation methods for derivatives pricing. It includes Monte-Carlo, Variance Reduction Techniques, Distribution Sampling Methods, Euler Schemes, and Milstein Schemes.

von-neumann monte-carlo variance-reduction derivatives-pricing stratified-sampling control-variates acceptance-rejection antithetic-variates euler-schemes inverse-transform-method milstein
  • Updated Aug 31, 2023
  • Jupyter Notebook

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