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Standard Error Bug

Open cmdty opened this issue 1 year ago • 0 comments

Some testing found that the standard error calculation contains a bug. As antithetic variance reduction is used, all PV sims are not independent hence the standard error calculation is incorrect. The solution is to take the average of all pairs of PVs calculated from the same random numbers and then calculate standard error as usual.

cmdty avatar Feb 19 '24 21:02 cmdty