K-antithetic variates in Monte Carlo simulation

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Publication:635002

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zbMath1221.65013MaRDI QIDQ635002

Abdelaziz Nasroallah

Publication date: 17 August 2011

Published in: Afrika Statistika (Search for Journal in Brave)

zbMATH Keywords

numerical examples Monte Carlo simulation multidimensional integrals antithetic variate method complex integrand untractable integrals variance reduction methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Related Items (2)

An efficient algorithm for pricing reinsurance contract under the regime-switching model ⋮ A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model

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