Simulation has proved to be a valuable tool for estimating security prices for which simple closed form solutions do … derivatives of security prices using simulation. With the direct methods, the information from a single simulation can be used to …

and simulation.</i> …

Carlo simulation as data after release become available. Call prices obtained using the maximum likelihood (ML) parameter …

. Efficient simulation of gamma and variance-gamma processes. Proc. 2003 Winter Simulation Conf. IEEE Press, Piscataway, NJ, 319 …. Thus, simulation of a trajectory from the gamma process requires generating only a small number of uniforms, avoiding the … expensive simulation of beta variates via numerical probability integral inversion. The proposed method is then applied in …

based upon Monte Carlo simulation for pricing European contingent claims depending on an arbitrary number of risk sources … Carlo simulation. Quadratic resampling can be efficiently combined with classical variance reduction methods such as …