Module variance_reduction 

Variance-reduction building blocks: moment matching and the generic regression-based control-variate estimator. (Antithetic pairing lives where draws are generated — see pseudo_normals — and low-discrepancy sampling in sobol / halton is itself the strongest variance reduction for smooth payoffs.)

Functions

control_variate_estimate

Control-variate estimate of E[payoff] given per-path values of a control with known expectation control_mean.

moment_match

Rescale draws in place to sample mean 0 and variance 1 exactly — removes the O(1/sqrt(n)) noise in the first two sample moments.