K-antithetic variates in Monte Carlo simulation

zbMATH Open1221.65013MaRDI QIDQ635002FDOQ635002

Authors: Abdelaziz Nasroallah 

Publication date: 17 August 2011

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

Recommendations

• Antithetic variates revisited
• A farewell to the use of antithetic variates in Monte Carlo simulation
• ANTITHETIC VARIATES FOR MONTE CARLO ESTIMATION OF PROBABILITIES
• Combination of General Antithetic Transformations and Control Variables
• Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems

zbMATH Keywords

numerical examplesMonte Carlo simulationmultidimensional integralsantithetic variate methodcomplex integranduntractable integralsvariance reduction methods

Mathematics Subject Classification ID

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

Cited In (4)

• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
• A farewell to the use of antithetic variates in Monte Carlo simulation
• ANTITHETIC VARIATES FOR MONTE CARLO ESTIMATION OF PROBABILITIES
• An efficient algorithm for pricing reinsurance contract under the regime-switching model

This page was built for publication: K-antithetic variates in Monte Carlo simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q635002)