Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB

Path-Dependent Options: Extending the Monte Carlo Simulation Approach

Management Science ◽

10.1287/mnsc.43.11.1589 ◽

1997 ◽

Vol 43 (11) ◽

pp. 1589-1602 ◽

Cited By ~ 64

Author(s):

Dwight Grant ◽

Gautam Vora ◽

David Weeks

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Simulation Approach ◽

Path Dependent

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Dynamic Portfolio Optimisation with Intermediate Costs: A Least-Squares Monte Carlo Simulation Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2696968 ◽

2016 ◽

Author(s):

Rongju Zhang ◽

Nicolas Langrenn ◽

Yu Tian ◽

Zili Zhu ◽

Fima Klebaner ◽

...

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Least Squares ◽

Portfolio Optimisation ◽

Simulation Approach ◽

Least Squares Monte Carlo ◽

Dynamic Portfolio

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Estimation of Internal Pit Depth Growth and Reliability of Aged Oil and Gas Pipelines— A Monte Carlo Simulation Approach

CORROSION ◽

10.5006/1543 ◽

2015 ◽

Vol 71 (8) ◽

pp. 977-991 ◽

Cited By ~ 13

Author(s):

Chinedu I. Ossai ◽

Brian Boswell ◽

Ian J. Davies

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Oil And Gas ◽

Simulation Approach ◽

Gas Pipelines ◽

Oil And Gas Pipelines ◽

Pit Depth

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Investigations on some coumarin based corrosion inhibitors for mild steel in aqueous acidic medium: Electrochemical, surface morphological, density functional theory and Monte Carlo simulation approach

Journal of Molecular Liquids ◽

10.1016/j.molliq.2021.115531 ◽

2021 ◽

Vol 329 ◽

pp. 115531

Author(s):

Dakeshwar Kumar Verma ◽

Savaş Kaya ◽

Elhachmia Ech-chihbi ◽

Fadoua El-Hajjaji ◽

Mayur Mausoom Phukan ◽

...

Keyword(s):

Density Functional Theory ◽

Monte Carlo Simulation ◽

Monte Carlo ◽

Mild Steel ◽

Acidic Medium ◽

Density Functional ◽

Corrosion Inhibitors ◽

Simulation Approach ◽

Functional Theory ◽

Aqueous Acidic Medium

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A probabilistic load flow method based on modified Nataf transformation and quasi Monte Carlo simulation

2015 IEEE PES Asia-Pacific Power and Energy Engineering Conference (APPEEC) ◽

10.1109/appeec.2015.7380886 ◽

2015 ◽

Cited By ~ 2

Author(s):

Sidun Fang ◽

Haozhong Cheng ◽

Guodong Xu ◽

Qinyong Zhou ◽

Hailei He ◽

...

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Load Flow ◽

Flow Method ◽

Quasi Monte Carlo ◽

Probabilistic Load Flow ◽

Probabilistic Load ◽

Nataf Transformation

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Distribution network design under demand uncertainty using genetic algorithm and Monte Carlo simulation approach: a case study in pharmaceutical industry

Journal of Industrial Engineering International ◽

10.1186/2251-712x-10-1 ◽

2014 ◽

Vol 10 (1) ◽

Cited By ~ 13

Author(s):

Arman Izadi ◽

Ali mohammad Kimiagari

Keyword(s):

Genetic Algorithm ◽

Monte Carlo Simulation ◽

Monte Carlo ◽

Pharmaceutical Industry ◽

Network Design ◽

Demand Uncertainty ◽

Distribution Network ◽

Simulation Approach ◽

Distribution Network Design

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Development of Dynamic Traffic Signal Control Based on Monte Carlo Simulation Approach

Measurement ◽

10.1016/j.measurement.2021.110591 ◽

2021 ◽

pp. 110591

Author(s):

Ekinhan Eriskin ◽

Serdal Terzi ◽

Halim Ceylan

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Traffic Signal ◽

Signal Control ◽

Traffic Signal Control ◽

Simulation Approach ◽

Dynamic Traffic

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The Monte Carlo simulation approach to verification of the attenuation factors k for isotropic gamma - Ray sources commonly used in industry, medicine and science

Radiation Physics and Chemistry ◽

10.1016/j.radphyschem.2021.109816 ◽

2021 ◽

pp. 109816

Author(s):

Marta Błażkiewicz ◽

Adam Konefał

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Gamma Ray ◽

Simulation Approach

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Logistics Competition between the U.S. And Brazil for Soybean Shipments to China an Optimized Monte Carlo Simulation Approach

SSRN Electronic Journal ◽

10.2139/ssrn.4003879 ◽

2022 ◽

Author(s):

William W. Wilson ◽

Gwen Scheresky ◽

David Bullock

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Simulation Approach ◽

The U.S

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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options

European Journal of Operational Research ◽

10.1016/j.ejor.2018.10.030 ◽

2019 ◽

Vol 274 (2) ◽

pp. 759-772 ◽

Cited By ~ 4

Author(s):

Fei Xie ◽

Zhijian He ◽

Xiaoqun Wang

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Importance Sampling ◽

Barrier Options ◽

Quasi Monte Carlo

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