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PENENTUAN HARGA OPSI BELI TIPE ASIA DENGAN METODE MONTE CARLO-CONTROL VARIATE
E-Jurnal Matematika, 2017 Option is a contract between the writer and the holder which entitles the holder to buy or sell an underlying asset at the maturity date for a specified price known as an exercise price.
NI NYOMAN AYU ARTANADI +2 more
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Introduction to Monte Carlo Simulation [PDF]
AIP Conference Proceedings, 2010 This paper reviews the history and principles of Monte Carlo simulation, emphasizing techniques commonly used in the simulation of medical imaging.
Robert L. Harrison +2 more
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First and second generation lookback and barrier options: enhancing pricing accuracy through Conditional Monte Carlo [PDF]
Risk Management MagazineThis paper addresses the challenges associated with pricing exotic options, specifically path-dependent ones, with a focus on the limitations of standard Monte Carlo simulations and the advantages provided by Conditional Monte Carlo methods, introduced
Pier Giuseppe Giribone +1 more
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Mach. Learn. under Resour. Constraints Vol. 2, 2018 Most real world processes have some random components in them. That is why we have to investigate the statistical properties of such systems/processes.
B. Spaan +9 more
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Automatic spin-entangled decays of heavy resonances in Monte Carlo simulations [PDF]
, 2012 A bstractWe present a general method that allows one to decay narrow resonances in Les Houches Monte Carlo events in an efficient and accurate way. The procedure preserves both spin correlation and finite width effects to a very good accuracy, and is ...
P. Artoisenet +3 more
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Computational complexity and fundamental limitations to fermionic quantum Monte Carlo simulations [PDF]
Physical Review Letters, 2004 Quantum Monte Carlo simulations, while being efficient for bosons, suffer from the "negative sign problem" when applied to fermions--causing an exponential increase of the computing time with the number of particles.
M. Troyer, U. Wiese
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Monte-Carlo simulations of superradiant lasing
New Journal of Physics, 2018 We simulate the superradiant dynamics of ensembles of atoms in the presence of collective and individual atomic decay processes. We apply the Monte-Carlo wave-function method and identify quantum jumps in a reduced Dicke state basis, which reflects the ...
Yuan Zhang +2 more
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Strong coupling from non-equilibrium Monte Carlo simulations
Journal of High Energy Physics, 2020 We compute the running coupling of non-Abelian gauge theories in the Schrödinger-functional scheme, by means of non-equilibrium Monte Carlo simulations on the lattice.
Olmo Francesconi +2 more
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Simulation and the Monte Carlo Method [PDF]
, 2007 Simulation and the Monte Carlo Method, Third Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the state-of-the-art theory, methods and applications that have emerged in Monte Carlo simulation since the publication of the classic First Edition over more than a quarter of a century ago. While
Rubinstein, Reuven Y., Kroese, Dirk P.
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Geometry dependence of the sign problem in quantum Monte Carlo simulations [PDF]
, 2015 The sign problem is the fundamental limitation to quantum Monte Carlo simulations of the statistical mechanics of interacting fermions. Determinant quantum Monte Carlo (DQMC) is one of the leading methods to study lattice models such as the Hubbard ...
V. Iglovikov +2 more
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