antithetic variable

antithetic variable

[¦an·tē¦thed·ik ′ver·ē·ə·bəl]
(statistics)
One of two random variables having high negative correlation, used in the antithetic variate method of estimating the mean of a series of observations.
References in periodicals archive ?
With the obtained [Z.sub.Vj], we consider antithetic variable -[Z.sub.Vj] and compute [V.sub.j](t) by [[alpha].sub.j][([[beta].sub.j] - [Z.sub.Vj]).sup.2] and thus obtain the second path of the DHHW model.
Efficient Simulation for Pricing Barrier Options with Two-Factor Stochastic Volatility and Stochastic Interest Rate
The authors then delve straight into the application of the antithetic variables to a "straddle," a derivative instrument that requires knowledge of finance beyond "rudimentary exposure." When authors discuss the control variate technique of variance reduction, the link to stochastic volatility can only be deduced.
Simulation Techniques in Financial Risk Management
Encyclopedia browser ?
Full browser ?