WSC
2008
13 years 7 months ago
2008
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...
WSC
2008
13 years 7 months ago
2008
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...
WSC
2007
13 years 7 months ago
2007
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 ...
WSC
2007
13 years 7 months ago
2007
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...