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control-variates

  1. Nicole Seaman

    P1.T2.21.6 Bootstrapping and antithetic/control variates

    Learning objectives: Explain the use of antithetic and control variates in reducing Monte Carlo sampling error. Describe the bootstrapping method and its advantage over Monte Carlo simulation. Describe pseudo-random number generation. Describe situations where the bootstrapping method is...
  2. Nicole Seaman

    P1.T2.21.5 Monte Carlo simulation

    Learning objectives: Describe the basic steps to conduct a Monte Carlo simulation. Describe ways to reduce Monte Carlo sampling error. Questions: 21.5.1. Mary wants to approximate the expected value of an option. She conducts a Monte Carlo simulation and based on her initial sample size, n =...
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