Monte Carlo methods for option pricing

Known as: Monte Carlo (disambiguation), Monte Carlo option model 
In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty… (More)
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2018
2018
This paper deals with the reliability assessment of electrical power supply systems under redundancy. For doing so, three… (More)
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2016
2016
Understanding the growth dynamics of physical processes in thin film growth is of great interest due to many practical… (More)
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2011
2011
The Transportation Security Administration (TSA) has been deploying Advanced Imaging Technologies (AITs) that are full-body… (More)
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2010
2010
The paper presents reliability study of Uninterruptible Power Supply (UPS) system configurations. The five main UPS system design… (More)
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2009
2009
M problems in mathematical finance (e.g., the pricing of financial derivative securities) can be formulated as high-dimensional… (More)
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Review
2008
Review
2008
In the following paper, we provide a review and development of sequential Monte Carlo (SMC) methods ([17, 18, 24]) for option… (More)
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Highly Cited
2008
Highly Cited
2008
Many important physiological processes operate at time and space scales far beyond those accessible to atom-realistic simulations… (More)
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2004
2004
Financial variables, such as asset returns in international stock and bond markets or interest rates in the liquidity market… (More)
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Highly Cited
1993
Highly Cited
1993
We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and… (More)
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