Lecture Computational Finance / Numerical Methods 17: Control Variates
Channel: finmath
Date: 2020-06-28

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 17: Variance Reduction: Control Variates

A short session on control variates

- Control Variates
- Variance Reduction
- Example: A control variate for an exotic payoff under the Black-Scholes model
- Code session