منابع مشابه
Efficient kinetic Monte Carlo simulation
This paper concerns Kinetic Monte Carlo (KMC) algorithms that have a singleevent execution time independent of the system size. Two methods are presented— one that combines the use of inverted-list data structures with rejection Monte Carlo and a second that combines inverted lists with the Marsaglia-Norman-Cannon algorithm. The resulting algorithms apply to models with rates that are determine...
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Monte Carlo simulation is a powerful aid in many fields. In this thesis it is used for pricing of financial derivatives. Achieving accurate results with Monte Carlo is rather timeconsuming due to its slow convergence. However, there are ways to improve the accuracy of each simulation, for instance by reducing the inevitable discretization bias. In our financial context, this concerns the discre...
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ژورنال
عنوان ژورنال: Journal of Computational Physics
سال: 2008
ISSN: 0021-9991
DOI: 10.1016/j.jcp.2007.10.021