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lines changed Original file line number Diff line number Diff line change @@ -82,7 +82,8 @@ export MonteCarlo,
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BlackScholesExact,
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LognormalDynamics,
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HestonDynamics,
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- SimulationConfig
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+ SimulationConfig,
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+ Antithetic
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export LSM
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# Sensitivities
Original file line number Diff line number Diff line change @@ -56,25 +56,25 @@ using Printf
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" BlackScholesExact without antithetic" ,
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BlackScholesExact (),
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LognormalDynamics (),
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- SimulationConfig (trajectories, seeds = nothing , variance_reduction = Hedgehog . NoVarianceReduction () )
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+ SimulationConfig (trajectories, seeds = nothing )
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),
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(
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" BlackScholesExact with antithetic" ,
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BlackScholesExact (),
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LognormalDynamics (),
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- SimulationConfig (trajectories, seeds = nothing )
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+ SimulationConfig (trajectories, seeds = nothing ; variance_reduction = Hedgehog . Antithetic () )
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),
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(
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" EulerMaruyama without antithetic" ,
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EulerMaruyama (),
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LognormalDynamics (),
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- SimulationConfig (trajectories, seeds = nothing , variance_reduction = Hedgehog . NoVarianceReduction () )
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+ SimulationConfig (trajectories, seeds = nothing )
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),
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(
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" EulerMaruyama with antithetic" ,
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EulerMaruyama (),
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LognormalDynamics (),
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- SimulationConfig (trajectories, seeds = nothing )
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+ SimulationConfig (trajectories, seeds = nothing ; variance_reduction = Hedgehog . Antithetic () )
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),
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]
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