670 search results - page 3 / 134 » Introduction to Monte Carlo simulation |
89
Voted
WSC
2007
14 years 12 months ago
2007
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...
72
Voted
WSC
2001
14 years 11 months ago
2001
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 ...
WSC
2004
14 years 11 months ago
2004
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...
WSC
2004
14 years 11 months ago
2004
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 ...
73
Voted
ENTCS
2006
14 years 9 months ago
2006
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 ...