Control variates: Difference between revisions

The '''control variates''' method is a [[variance reduction]] technique used in [[Monte Carlo methods]]. It exploits information about the errors in estimates of known quantities to reduce the error of an estimate of an unknown quantity.<ref>Glasserman, P. (2004). ''Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (1 ed.)''. New York: Springer., ISBN 0387004513 (p. 185.)</ref>