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mlmc (version 1.0.0)

Multi-Level Monte Carlo

Description

An implementation of Multi-level Monte Carlo for R. This package builds on the original 'Matlab' and C++ implementations by Mike Giles to provide a full MLMC driver and example level samplers. Multi-core parallel sampling of levels is provided built-in.

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Version

Install

install.packages('mlmc')

Monthly Downloads

450

Version

1.0.0

License

GPL-2

Maintainer

Louis Aslett

Last Published

April 24th, 2016

Functions in mlmc (1.0.0)

mcqmc06_l

Financial options using a Milstein discretisation
mlmc

Multi-level Monte Carlo estimation
mlmc.test

Multi-level Monte Carlo estimation test suite
opre_l

Financial options using an Euler-Maruyama discretisation
plot.mlmc.test

Plot an mlmc.test object