R: Adaptive Multilevel Splitting for Option Simulation and Pricing

# Adaptive Multilevel Splitting for Option Simulation and Pricing

## Documentation for package ‘amsSim’ version 0.1.0

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

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)