Finite Element Based Monte Carlo Simulation of Option Prices on LLvy Driven Assets

2015 ◽  
Author(s):  
Patrik Karlsson
Keyword(s):  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Option Prices

Finite element based Monte Carlo simulation of options on Lévy driven assets

2018 ◽  
Vol 05 (01) ◽  
pp. 1850013 ◽  
Author(s):  
Patrik Karlsson
Keyword(s):  
Differential Equation ◽  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Monte Carlo Simulations ◽  
Transition Matrix ◽  
Simulation Algorithm ◽  
Option Prices ◽  
European Options ◽  
Inverse Transition

This paper extends the simulation algorithm by Andreasen and Huge (2011) to the simulation of option prices and deltas on Lévy driven assets where the simulation is performed relying on the inverse transition matrix of the discretized partial integro differential equation (PIDE). We demonstrate how one can get accurate prices and deltas of European options on VG and CGMY via Monte Carlo simulations.

scholarly journals Voronoi diagram and Monte-Carlo simulation based finite element optimization for cost-effective 3D printing

2021 ◽  
Vol 50 ◽  
pp. 101301
Author(s):  
A.Z. Zheng ◽  
S.J. Bian ◽  
E. Chaudhry ◽  
J. Chang ◽  
H. Haron ◽  
...  
Keyword(s):  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
3D Printing ◽  
Voronoi Diagram ◽  
Cost Effective ◽  
Simulation Based

scholarly journals Monte Carlo Simulation for Exploring Mechanical Properties of Porous Materials Based on Scaled Boundary Finite Element Method

2022 ◽  
Vol 12 (2) ◽  
pp. 575
Author(s):  
Guangying Liu ◽  
Ran Guo ◽  
Kuiyu Zhao ◽  
Runjie Wang
Keyword(s):  
Mechanical Properties ◽  
Finite Element Method ◽  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Porous Materials ◽  
Influencing Factors ◽  
Random Models ◽  
Scaled Boundary Finite Element ◽  
Element Method

The existence of pores is a very common feature of nature and of human life, but the existence of pores will alter the mechanical properties of the material. Therefore, it is very important to study the impact of different influencing factors on the mechanical properties of porous materials and to use the law of change in mechanical properties of porous materials for our daily lives. The SBFEM (scaled boundary finite element method) method is used in this paper to calculate a large number of random models of porous materials derived from Matlab code. Multiple influencing factors can be present in these random models. Based on the Monte Carlo simulation, after a large number of model calculations were carried out, the results of the calculations were analyzed statistically in order to determine the variation law of the mechanical properties of porous materials. Moreover, this paper gives fitting formulas for the mechanical properties of different materials. This is very useful for researchers estimating the mechanical properties of porous materials in advance.

Variation Simulation for Deformable Sheet Metal Assemblies Using Finite Element Methods

1997 ◽  
Vol 119 (3) ◽  
pp. 368-374 ◽  
Author(s):  
S. Charles Liu ◽  
S. Jack Hu
Keyword(s):  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Sheet Metal ◽  
Finite Element Methods ◽  
Free Form ◽  
Direct Monte Carlo Simulation ◽  
Free Form Surfaces ◽  
Variation Simulation ◽  
Sheet Metal Assembly

Traditional variation analysis methods, such as Root Sum Square method and Monte Carlo simulation, are not applicable to sheet metal assemblies because of possible part deformation during the assembly process. This paper proposes the use of finite element methods (FEM) in developing mechanistic variation simulation models for deformable sheet metal parts with complex two or three dimensional free form surfaces. Mechanistic variation simulation provides improved analysis by combining engineering structure models and statistical analysis in predicting the assembly variation. Direct Monte Carlo simulation in FEM is very time consuming, because hundreds or thousands of FEM runs are required to obtain a realistic assembly distribution. An alternative method, based on the Method of Influence Coefficients, is developed to improve the computational efficiency, producing improvements by several orders of magnitude. Simulations from both methods yield almost identical results. An example illustrates the developed methods used for evaluating sheet metal assembly variation. The new approaches provide an improved understanding of sheet metal assembly processes.

Finite element and Monte Carlo simulation of submicrometer silicon n-MOSFET's

1999 ◽  
Vol 35 (3) ◽  
pp. 1809-1812 ◽  
Author(s):  
D. Hadji ◽  
Y. Marechal ◽  
J. Zimmermann
Keyword(s):  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo

Sensitivity Analysis on Solder Joint Fatigue Life of Solid State Drives by Finite Element Method and Monte Carlo Simulation

2017 ◽  
Author(s):  
Y. J. Cho ◽  
J. W. Jang ◽  
G. H. Jang
Keyword(s):  
Finite Element Method ◽  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Fatigue Life ◽  
Solid State ◽  
Thermal Cycling ◽  
Solder Ball ◽  
Solid State Drives ◽  
Element Method

We proposed a method to estimate a distribution of fatigue life of solid state drives (SSDs) due to thermal cycling excitation by using finite element method and Monte Carlo simulation. In the developed finite element model, we utilized the Anand model to represent the viscoplastic behavior of the solder balls, and we also utilized the Prony series to represent the viscoelastic behavior of the polymer material in underfill. We determined a fatigue life of the SSD by using the Morrow’s energy-based fatigue model. Finally, we determined a distribution of fatigue life considering the manufacturing tolerance of the design variables and the variation of material properties in the Monte Carlo simulation. Finite element analysis shows that the outermost solder ball at the corner of dynamic random access memory was the most vulnerable component under the thermal cycling excitation. We also show that temperature profile and diameter of solder ball affect dominantly the fatigue life of the SSD.

Design study on photoacoustic probe to detect prostate cancer using 3D Monte Carlo simulation and finite element method

2014 ◽  
Vol 4 (3) ◽  
pp. 250-257 ◽  
Author(s):  
Sherif Hamdy El-Gohary ◽  
Mohamed Kilany Metwally ◽  
Seyoung Eom ◽  
Seung Hyun Jeon ◽  
Kyung Min Byun ◽  
...  
Keyword(s):  
Prostate Cancer ◽  
Finite Element Method ◽  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Design Study ◽  
Detect Prostate Cancer ◽  
3D Monte Carlo ◽  
Element Method
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