SkipperLin · 2020年07月24日

问一道题：NO.PZ202001110100005503

1. FRM I
2. Quantitative

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问题如下：

c. Assuming that the sample correlation holds for the entire population, what is the change in expected sample standard error attainable by using antithetic sampling?

选项：

解释：

Using Excel, the correlation is -27%. Therefore, the reduction in error is

$1 - \sqrt {1 + \rho} = 15\%$

For the same number of simulations.

请问这个公式是哪里来的呀