Python for Finance Cookbook

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There are some statistical methods that make working with Monte Carlo simulations easier (higher accuracy, faster computations). One of them is a variance reduction method called antithetic variates. In this approach, we try to reduce the variance of the estimator by introducing negative dependence between pairs of random draws. This translates into the following: when creating sample paths, for each , we also take the antithetic values .

The advantages of this approach are:

• Reduction (by half) of the number of Standard Normal ...