Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these id...
A constrained Monte Carlo problem arises when one computes an expectation in the presence of a priori computable constraints on the expectations of quantities that are correlated ...
We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LS...
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
We review the recently developed technique of Monte Carlo model checking and show how it can be applied to the implementation problem for I/O Automata. We then consider some open ...