T paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretely exercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence gives valid confidence intervals for the true value. Lower bounds can be generated using any number of pr...

Strategy descriptions like the " Take The Best "-heuristic (G. Gigerenzer et al., 1991), the weighted additive rule, and the equal weight decision rule are competing theories on information integration in probabilistic inference tasks. Behavioral decision research is confronted with the problem of drawing conclusions about unobservable decision strategies from behavioral data. Although there ha...

In large random economies with heterogeneous agents, a standard stochastic framework presumes a random macro state, combined with idiosyncratic micro shocks. This can be formally represented by a random process consisting of a continuum of random variables that are conditionally independent given the macro state. However, this process satisfies a standard joint measurability condition only if t...

Monte Carlo simulation (MCS) has been widely used for the uncertainty propagations of building simulation tools. In general, most unknown inputs for the MCS are regarded as single probability distributions based on experts’ subjective judgements and assumptions, when simulation information and measured data are inaccurate and insufficient. However, this can lead to meaningless and untrustworthy...

To function as gene regulatory elements in response to environmental signals, riboswitches must adopt specific secondary structures on appropriate time scales. We employ kinetic Monte Carlo simulation to model the time-dependent folding during transcription of TPP riboswitch expression platforms. According to our simulations, riboswitch transcriptional terminators, which must adopt a specific h...

In this paper, we introduce the Top Limited uncertain interest, and define it as a kind of exotic options. Then we propose a method to valuate the options with Monte Carlo Simulation. We demonstrate a real example from one of China venture capital policies. Our work enriches the exotic option theory, and it’s a remarkable step towards the quantitative analysis of public policies using option th...

Received () Revised () A bit-string model of biological life-histories is parallelized, with hundreds of millions of individuals. It gives the desired drastic decay of survival probabilities with increasing age for 32 age intervals.

Recently Knüsel (2008) proposed a new method of orthogonal rotation based on chi-square statistic, the Chisquaremax criterion. However, its performance has not yet been evaluated for the effect of outliers. Thus, we assessed the factorial model with Chisquaremax criterion for the effect of outliers using Monte Carlo simulation techniques in different scenarios. The efficiency of covariance matr...

In this paper, a Monte Carlo simulation is performed to investigate the finite sample properties of various estimators, based on discretely sampled observations, of the continuous-time Itô diffusion process. The simulation study aims to compare the performance of the nonparametric estimators proposed in Jiang and Knight (1996) with common parametric estimators based on those diffusion processes...