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Little corrections
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-5
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2 files changed

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src/Hedgehog.jl

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Original file line numberDiff line numberDiff 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

test/agreement/montecarlo_black_scholes.jl

Lines changed: 4 additions & 4 deletions
Original file line numberDiff line numberDiff 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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