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Control variates
Known as:
Control variate
, Regression sampling
The control variates method is a variance reduction technique used in Monte Carlo methods. It exploits information about the errors in estimates of…
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Related topics
Related topics
9 relations
Antithetic variates
Importance sampling
Least squares
List of numerical analysis topics
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Broader (2)
Computational statistics
Randomness
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2011
2011
Investors' and Central Bank's Uncertainty Embedded in Index Options
A. David
,
P. Veronesi
2011
Corpus ID: 53392836
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio…
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2010
2010
Control Variates for Reversible MCMC Samplers
P. Dellaportas
,
Ioannis Kontoyiannis
2010
Corpus ID: 53342004
A general methodology is introduced for the construction and effective application of control variates to estimation problems…
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2009
2009
A Multilevel Approach to Control Variates
Adam Speight
2009
Corpus ID: 18267757
We present a new variance reduction technique that naturally applies to price financial derivatives by Monte Carlo simulation…
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2008
2008
Monte Carlo Simulation with Exact Analysis for Stochastic Pert Networks
Z. Milian
2008
Corpus ID: 16686381
This paper deals with one of methods for estimating the probability distribution of the project completion time in stochastic…
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Review
2007
Review
2007
Variance Reduction Three Approaches to Control Variates
Thomas Lidebrandt
2007
Corpus ID: 6036136
In option price simulations, simulation-time is of great importance. Control variates is a variance reduction technique that can…
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2003
2003
A Note on Estimating Parameters in The Two-Parameter Weibull Distribution
Mezbahur Rahman
,
Larry M. Pearson
2003
Corpus ID: 118021594
The Weibull variate is commonly used as a lifetime distribution in reliability applications. Estimation of parameters is…
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Highly Cited
1998
Highly Cited
1998
Pricing the American put option: A detailed convergence analysis for binomial models
Dietmar P. J. Leisen
1998
Corpus ID: 119726743
1998
1998
Pricing of interest rate contingent claims: implementing a simulation approach
K. Miltersen
1998
Corpus ID: 17901105
This paper is an empirical study of the Heath-Jarrow-Morton model using time stamped transactions data of screen traded Danish…
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1989
1989
On regression sampling in statistical auditing : bad answers to the wrong questions?
A. F. Vos
1989
Corpus ID: 25983832
This paper criticizes the use of regression in audit samples to obtain confidence intervals for the error rate. Also the…
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1987
1987
Control Variate Selection for Multiresponse Simulation.
K. Bauer
1987
Corpus ID: 122656860
Abstract : A solution is offered to the general problem of optimal selection of control variates. Solutions are offered for two…
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