Module 11Variance ReductionLesson 6 of 722 min
Antithetic Variates
Pair Z and -Z to cut variance.
Idea
For each Z, also use -Z; average the two payoffs.
Why it helps
Negative dependence reduces variance for monotonic payoffs.
Cost
Roughly same work per pair as two paths, often better se.
Challenge
Control variate idea: use known E[S_T] (write comments + sketch).
Tips
- Antithetics nearly free
- Control variates next
- Quasi-MC offline
Try it live
Antithetic VariatesRust 2021
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Output
Press Run to compile and execute.