medium · Quantitative Finance numerical
A trader uses antithetic variates to price an option. The payoffs from the pair (Z, -Z) have a variance of σ^2 = 64 each and a correlation of ρ = -0.6.
By what factor is the variance of the antithetic estimator reduced compared to two independent draws?
- 1.6
- 1.25
- 5.0
- 2.5
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