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WSC
2004
15 years 4 months ago
Exact Simulation of Option Greeks under Stochastic Volatility and Jump Diffusion Models
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
Mark Broadie, Özgür Kaya
WSC
1998
15 years 4 months ago
Web-based Simulation Experiments
The use of the World Wide Web and Java-based mobile code provides new opportunities for distributed simulation. First, the infrastructure provided by the Internet eliminates the n...
Enver Yücesan, Chun-Hung Chen, Insup Lee
MSWIM
2004
ACM
15 years 8 months ago
Detailed models for sensor network simulations and their impact on network performance
Recent trends in sensor network simulation can be divided between less flexible but accurate emulation based approach and more generic but less detailed network simulator models....
Maneesh Varshney, Rajive Bagrodia
WSC
2004
15 years 4 months ago
Modeling Tool Failures in Semiconductor Fab Simulation
In this research, we investigate how well Weibull, Gamma, and special bimodal distribution are suited as an alternative to the exponential distribution approach in the stochastic ...
Oliver Rose
WSC
2001
15 years 4 months ago
Modeling and simulation for exploring human-robot team interaction requirements
Small-sized and micro-robots will soon be available for deployment in large-scale forces. Consequently, the ability of a human operator to coordinate and interact with largescale ...
Donald D. Dudenhoeffer, David J. Bruemmer, Midge L...