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>.

Version: 0.1.0
Suggests: testthat
Published: 2020-12-08
Author: Onur Boyar [aut, cre], Wolfgang Hörmann [aut]
Maintainer: Onur Boyar <boyaronur at gmail.com>
License: GPL-2
NeedsCompilation: no
Materials: README NEWS
CRAN checks: VarRedOpt results

Documentation:

Reference manual: VarRedOpt.pdf

Downloads:

Package source: VarRedOpt_0.1.0.tar.gz
Windows binaries: r-devel: VarRedOpt_0.1.0.zip, r-release: VarRedOpt_0.1.0.zip, r-oldrel: VarRedOpt_0.1.0.zip
macOS binaries: r-release (arm64): VarRedOpt_0.1.0.tgz, r-release (x86_64): VarRedOpt_0.1.0.tgz, r-oldrel: VarRedOpt_0.1.0.tgz

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