control variates | Sciweavers

34

WSC
2008

110views Modeling And Simulation» more WSC 2008»

Reducing the variance of likelihood ratio greeks in Monte Carlo

14 years 3 months ago

We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ra...

Luca Capriotti

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30

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WSC
2008

152views Modeling And Simulation» more WSC 2008»

Control variate technique: A constructive approach

14 years 3 months ago

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The technique of control variates requires that the user identify a set of variates that are correlated with the estimation variable and whose means are known to the user. We rela...

Tarik Borogovac, Pirooz Vakili

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35

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WSC
2007

234views Modeling And Simulation» more WSC 2007»

Feasibility study of variance reduction in the logistics composite model

14 years 3 months ago

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The Logistics Composite Model (LCOM) is a stochastic, discrete-event simulation that relies on probabilities and random number generators to model scenarios in a maintenance unit ...

George P. Cole III, Alan W. Johnson, J. O. Miller

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32

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WSC
2007

99views Modeling And Simulation» more WSC 2007»

Non-linear control variates for regenerative steady-state simulation

14 years 3 months ago

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We assume the existence of a parameterized family of control variates that could be used in a regenerative steady-state simulation. We show how such controls can be generated in t...

Sujin Kim, Shane G. Henderson

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