hard · Quantitative Finance
A quant is performing a Monte Carlo simulation to price a path-dependent option. To reduce variance, they use antithetic variates.
If the correlation between the original payoff X and the antithetic payoff X' is ρ = -0.7, by what factor is the variance of the estimator reduced compared to a standard simulation using the same total number of paths?
- 3.33
- 1.70
- 0.30
- 1.43
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