Otro
The Method of Common Random Numbers: An Example
Autor
Hamrick, Jeff
Resumen
Variance reduction is of great interest to the creators of Monte Carlo experiments. For example, investment banks use very complicated Monte Carlo simulations to price esoteric mortgage-backed securities. These simulations often run overnight because many Monte Carlo trials are necessary to obtain (by the central limit theorem) a point estimate of some true population parameter, bounded by a relatively small confidence interval. One way to reduce the number of required Monte Carlo trials is to use a variance reduction technique Componente Curricular::Educação Superior::Ciências Exatas e da Terra::Probabilidade e Estatística