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Quantitative Finance · Begrippenlijst

Wat is Antithetic variates, control variate, stratified sampling?

Ook bekend als: antithetic variates · control variate · stratified sampling

Definition 26.4 Quantitative Methods · Hoofdstuk 26 — Monte Carlo

Antithetic variates pair each draw ZZ with −Z-Z (each uniform UU with 1−U1 - U) and average 12(f(Z)+f(−Z))\frac12(f(Z) + f(-Z)). A control variate is a variable CC with known mean, used in μ^β=1n∑i(Yi−β(Ci−EC))\hat\mu_\beta = \frac1n\sum_i(Y_i - \beta(C_i - \E C)). Stratified sampling partitions the space of an input into strata of known probability psp_s and draws a fixed number ns=npsn_s = np_s in each.

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