Modified antithetic variates대조 몬테칼로의 변형
The Monte Carlo Method is widely used to obtain the value of the options which is expectation of function of normally distributed random variable. To reduce the variance of samples, Antithetic Variates is used. However Antithetic Variates does not work for the even function and the function which is close to the even function. In this paper, Modified Antithetic Variates is introduced to compansate the defect of the Antithetic Variates.
- Advisors
- Choe, Geon-Horesearcher; 최건호
- Description
- 한국과학기술원 : 수리과학과,
- Publisher
- 한국과학기술원
- Issue Date
- 2014
- Identifier
- 569114/325007 / 020123289
- Language
- eng
- Description
학위논문(석사) - 한국과학기술원 : 수리과학과, 2014.2, [ iv, 21 p. ]
- Keywords
Variance reduction; 몬테칼로; Monte Carlo; 분산 줄이기
- Appears in Collection
- MA-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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