Comments (2)
Possible solution: np.random.Generator as an argument to 'simulate'
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Waiting for the numba v0.57
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Related Issues (14)
- Finish up the pseudo-code algorithms in the report
- Vectorise vs prange in Numba: what is more effective? HOT 1
- CUDA
- Write a documentation for 'Code/Data/evaluation'
- Implement the 4-way antithetic variate method for CUDA implementation HOT 1
- Implement the 4-way antithetic variate method for Numba implementation HOT 1
- Fix the NaN issue in QE scheme HOT 1
- Remake the mc_price to be compatible with multiple payoffs (like Union[Callable, np.ndarray])
- Remake the mc_price and payoff functions to be compatible with path-dependent derivatives
- Documentation for Andersen TG scheme
- Finish the proofs in the report (marked red)
- Write a piece of theory about the Milstein and SRK schemes
- Write an script for the generation of the tables for the report (exotics)
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