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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 variatesImportance samplingLeast squaresList of numerical analysis topics

Broader (2)

Computational statisticsRandomness

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
The Scalable Langevin Exact Algorithm : Bayesian Inference for Big Data
This paper introduces a class of Monte Carlo algorithms which are based upon simulating a Markov process whose quasi-stationary… 
2016
2016
Reducing the error of Monte Carlo Algorithms by Learning Control Variates
Monte Carlo (MC) sampling algorithms are an extremely widely-used technique to estimate expectations of functions f(x… 
2013
2013
Calibrated path sampling and stepwise bridge sampling
2011
2011
Investors' and Central Bank's Uncertainty Embedded in Index Options
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio… 
2010
2010
Control Variates for Reversible MCMC Samplers
A general methodology is introduced for the construction and effective application of control variates to estimation problems… 
2009
2009
A Multilevel Approach to Control Variates
We present a new variance reduction technique that naturally applies to price financial derivatives by Monte Carlo simulation… 
Review
2007
Review
2007
Variance Reduction Three Approaches to Control Variates
In option price simulations, simulation-time is of great importance. Control variates is a variance reduction technique that can… 
Highly Cited
1998
Highly Cited
1998
Pricing the American put option: A detailed convergence analysis for binomial models
1998
1998
Pricing of interest rate contingent claims: implementing a simulation approach
This paper is an empirical study of the Heath-Jarrow-Morton model using time stamped transactions data of screen traded Danish… 
1987
1987
Control Variate Selection for Multiresponse Simulation.
Abstract : A solution is offered to the general problem of optimal selection of control variates. Solutions are offered for two… 
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