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Efficient Monte Carlo Simulation of Security Prices
Efficient Monte Carlo Simulation Security Prices
2015/7/8
This paper provides an asymptotically efficient algorithm for the allocation of computing resources to the problem of Monte Carlo integration of continuous-time security prices. The tradeoff between i...
Grid-Based Simulation and the Method of Conditional Least Squares
Grid-Based Simulation Method Conditional Least Squares
2015/7/8
This paper is concerned with the use of simulation to compute the conditional expectations that arise in the method of conditional least squares. Our approach involves performing simulations at each p...
Numerical Computation of Large Deviations Exponents via Simulation
Large deviations simulation regeneration eigenvalue problem,distribution arkov chains
2015/7/8
Consider the problem of numerically computing the exponential rate at which the tail of the hitting time of a Markov chain to a given set decreases to zero. One approach involves computing the solutio...