monte carlo simulation (MCS)
OPTION PRICING USING MONTE CARLO SIMULATION
... use Monte Carlo simulation since the pioneering works of Boyle (1977), Tilley (1993) and Bossaerts ...combining simulation and dynamic ...
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Monte Carlo Simulation and Improvement of Variance Reduction Techniques
... The transverse axis indicates the probability of falling within the 1/4 circle, and the longitudinal axis represents the frequency within each small probability interval. From the graph we can see obviously that the ...
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A New Approach to Monte Carlo Simulation of Operations
... Monte Carlo simulation performs risk analysis by building models of possible results by substituting a range of values—a probability distribution—for any factor that has inherent ...a Monte ...
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Estimation bias due to duplicated observations: a Monte Carlo simulation
... The goal of our analysis is to assess the risk of obtaining biased estimates due to duplicated obser- vations. We use a Monte Carlo simulation to investigate how various numbers and patterns of ...
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Monte Carlo Simulation of a Two-Factor Stochastic Volatility Model
... quasi-Monte Carlo sequences). As well known, quasi-Monte Carlo methods have better convergence rate, at least asymptotically, of O(log d N/N ), whereas Monte Carlo methods have ...
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Monte Carlo Simulation of Language Change in Tikopia & Maori
... MONTE CARLO SIMULATION OF LANGUAGE CHANGE IN TIKOPIA & MAORI MONTE CARLO SIMULATION OF LANGUAGE CHANGE IN TIKOPIA & MAORI* by Sheldon Klein, Michael A Kuppin & Kirby A Meives Computer Sciences Departm[.] ...
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Monte Carlo Simulation Method To Predict The Charging Load Curve
... The difficulty in calculating EV charging load lies in the randomness of start charging time and start SOC. Assuming that power grids don’t control the charging behavior of EVs, EVs are charged immediately after ...
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Monte carlo simulation of the CGMY process and option pricing
... cases, Monte Carlo simulation is generally the method of ...choice. Monte Carlo simulation of the CGMY process, though, is not straightfor- ward due to the fact that its ...
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Monte Carlo Simulation for Statistical Decay of Compound Nucleus
... A Monte Carlo simulation of the nuclear reaction process will be able to provide fully correlated information, ...called Monte Carlo Hauser-Feshbach (MCHF) [2, ...the Monte ...
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Goal setting of EEOI for chemical tankers by Monte Carlo simulation
... In accordance with the current regulations, the compa- nies have to investigate the suitability of the applied operational measures; to assess the available solutions for the energy efficiency improvement of their fleet; ...
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Implementation of Board Games Using Monte Carlo Simulation
... ABSTRACT: Monte Carlo simulation is a problem solving technique that is used to approximate the probability of certain outcomes based on running simulations multiple ...A Monte Carlo ...
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Analyze Monte Carlo Simulation Applications for Project Management
... the Monte Carlo simulation method and its uses in various fields, focusing primarily on its use in the field of project ...management. Monte Carlo simulation becomes more popular ...
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MONTE-CARLO SIMULATION OF ROAD TRANSPORT EMISSION
... variables. Monte-Carlo simulation were used to generate individual mileage and fuel consumption data for every vehicle. The mentioned two vector variables (for mileage and for fuel consumption) were ...
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Monte Carlo simulation for urban water supply infrastructure availability
... The availability of a water distribution system is governed by the reliability of pipes in the distribution network and the components in the water supply pumping system. The failure pattern of such a system is difficult ...
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Monte Carlo Simulation of the Adjoint Transport Equation EUR 4678
... A The normal game In the following we describe a procedure to arrive at the Monte Carlo simulation of the adjoint neutron transport equation from a somewhat different point of view than [r] ...
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Monte Carlo simulation as a service in the Cloud
... software simulation to calculate risk and pricing using techniques like Monte Carlo simulation take hours to complete (MacKenzie and Spears, ...
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Coarse-Grained Lattice Monte Carlo Simulation of Continuous Systems
... Metropolis Monte Carlo and Langevin dynamics under certain conditions ...Metropolis Monte Carlo for studying dynamical evolution in non-equilibrium settings is not ...kinetic Monte ...
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Portfolio Optimization & Monte Carlo Simulation
... uses Monte Carlo simulation of a simple equity growth model with resampling of historical financial data to estimate the probability distributions of the future equity, earnings and payouts of ...
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Examining the Value of Monte Carlo Simulation for Project Time Management
... the Monte Carlo simulation is defined as a technique in which the project model is computed many times (iterated), with variable input values ...the Monte Carlo mainly deals with ...
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Exact Monte Carlo simulation of killed diffusions
... exact simulation of reflected Brownian motion with drift and to the approxi- mation of reflected ...for Monte Carlo simulation of ν can be computationally expensive involving the ...
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