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Why Monte Carlo Simulations are Inferences and not Experiments
Monte Carlo method computer simulations inference experiment randomness
2016/5/27
Monte Carlo Simulations arrive at their results by introducing randomness, sometimes derived from a physical randomizing device. Nonetheless, we argue, they open no new epistemic channels beyond that ...
Noncanonical statistics of a spin-boson model: Theory and exact Monte Carlo simulations
Non Canonical statistics a spin-boson model Theory exact Monte Carlo simulations
2014/9/24
Equilibrium canonical distribution in statistical mechanics assumes weak system-bath coupling (SBC). In real physical situations this assumption can be invalid, and equilibrium quantum statistics of t...
Exact recording of Metropolis-Hastings-class Monte Carlo simulations using one bit per sample
Markov chain Monte Carlo Metropolis-Hastings information theory data representation
2011/6/21
The Metropolis-Hastings (MH) algorithm is the prototype for a class of Markov chain Monte Carlo methods
that propose transitions between states and then accept or reject the proposal. These methods g...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Pricing Asian Basket Options Quasi-Monte Carlo Simulations
2010/11/1
In this article we consider the problem of pricing and hedging high-dimensional
Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities...