A farewell to the use of antithetic variates in Monte Carlo simulation

DOI10.1057/PALGRAVE.JORS.2602645MaRDI QIDQ3394093zbMATH OpenOpenAlexFDO

Authors Eduardo Saliby, Ray J. Paul

Publication date 28 August 2009

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/palgrave.jors.2602645

zbMATH Keywords

antithetic variatesMonte Carlosimulationvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cited in

(7)

• Targeting Kollo skewness with random orthogonal matrix simulation
• Antithetic variates revisited
• Antithetic Sampling with Multivariate Inputs
• Control-variate methods for comparison with a standard
• ANTITHETIC VARIATES FOR MONTE CARLO ESTIMATION OF PROBABILITIES
• K-antithetic variates in Monte Carlo simulation
• Antithetic variates revisited again

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