search

HaroldRKingsberg / MLMC

Multi-level Monte Carlo simulation of option pricing
3 stars 3 forks source link

Histogram Plots #11

Open petercwill opened 7 years ago

petercwill commented 7 years ago

Hi Guys,

I added the first histogram plot for a sample constant volatility call option.

I'm a little confused about the specific relationship we want to depict between the variance of individual estimates returned by the solver, and the variance of the entire set of samples. Take a look, and let me know what you think.

HaroldRKingsberg commented 7 years ago

Hi Peter,

Would it be possible to duplicate the graphs we've made for the Simple layered solver for the Heuristic layered solver?