Adaptive Multilevel Splitting for Option Simulation and Pricing
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Documentation for package ‘amsSim’ version 0.1.0
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| AMS | AMS Adaptive Multilevel Splitting estimator for rare-event option payoffs. |
| simulate_AMS | simulate_AMS Monte Carlo simulation of price paths under: 1 = Black–Scholes (exact solution) 2 = Heston (Euler discretisation) 3 = Heston (Milstein discretisation) 4 = Heston (Quadratic–Exponential scheme, Andersen 2008) |