Some Monte Carlo Experiments in Computing Multiple Integrals

ثبت نشده
چکیده

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Monte Carlo Complexity of Parametric Integration

The Monte Carlo complexity of computing integrals depending on a parameter is analyzed for smooth integrands. An optimal algorithm is developed on the basis of a multigrid variance reduction technique. The complexity analysis implies that our algorithm attains a higher convergence rate than any deterministic algorithm. Moreover, because of savings due to computation on multiple grids, this rate...

متن کامل

European Options Sensitivities via Monte Carlo Techniques

This paper proposes a unified approach to Monte Carlo estimation of sensitivity of European option premiums with respect to some arbitrary parameter. The classical framework assumes that the underlying parameter is some intrinsic parameter of the model, e.g., interest rate, volatility or time to maturity, in which case sensitivities are also known as ”Greeks”. Intrinsic parameters only induce v...

متن کامل

Applying Point Estimation and Monte Carlo Simulation Methods in Solving Probabilistic Optimal Power Flow Considering Renewable Energy Uncertainties

The increasing penetration of renewable energy results in changing the traditional power system planning and operation tools. As the generated power by the renewable energy resources are probabilistically changed, the certain power system analysis tolls cannot be applied in this case.  Probabilistic optimal power flow is one of the most useful tools regarding the power system analysis in presen...

متن کامل

Two and Three Dimensional Monte Carlo Simulation of Magnetite Nanoparticle Based Ferrofluids

We have simulated a magnetite nanoparticle based ferrofluid using Monte Carlo method. Two and three dimensional Monte Carlo simulations have been done using parallel computing technique. The aggregation and rearrangement of nanoparticles embedded in a liquid carrier have been studied in various particle volume fractions. Our simulation results are in complete agreement with the reported experim...

متن کامل

Quasi-monte Carl0 Methods

The prices of complex derivative securities are often represented as highdimensional integrals in modern finance. The basic Monte Carlo approach has proved useful in the evaluation of these integrals. The paper describes a recent development in this area that is generating considerable interest. Instead of using random points to evaluate the integrals as in standard Monte Carlo one can use a de...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2010