Similar Search Results

Estimating Greeks in simulating Lévy-driven models

Glasserman, Paul; Liu, Zongjian - In: The journal of computational finance 14 (2010/11) 2, pp. 3-56

Persistent link: https://www.econbiz.de/10008810140

Pricing American style securities using simulation

Broadie, Mark - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1323-1352

Persistent link: https://www.econbiz.de/10001222047

Monte Carlo methods for security pricing

Boyle, Phelim P. - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1267-1321

Persistent link: https://www.econbiz.de/10001222048

Enhanced Monte Carlo estimates for American option prices

Broadie, Mark - In: The journal of derivatives : the official publication … 5 (1997) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10001226468

Maximum entropy distributions with applications to graph simulation

Glasserman, Paul; Larrea, Enrique Lelo de - In: Operations research 71 (2023) 5, pp. 1908-1924

Persistent link: https://www.econbiz.de/10014393288

A renewal theoretic approach to bias reduction in generative simulations

Meketon, Marc S.; Heidelberger, Philip - In: Management science : journal of the Institute for … 28 (1982) 2, pp. 173-181

Persistent link: https://www.econbiz.de/10003574484

Simulation run length control in the presence of an initial transient

Heidelberger, Philip; Welch, Peter D. - In: Operations research 31 (1983) 6, pp. 1109-1144

Persistent link: https://www.econbiz.de/10003574490

Sensitivity analysis from sample paths using likelihoods

Heidelberger, Philip - In: Management science : journal of the Institute for … 35 (1989) 12, pp. 1475-1488

Persistent link: https://www.econbiz.de/10001082111

Simulating Tail Probabilities in GI/GI.1 Queues and Insurance Risk Processes with Subexponentail Distributions

Boots, Nam Kyoo; Shahabuddin, Perwez - 2001

This paper deals with estimating small tail probabilities of thesteady-state waiting time in a GI/GI/1 queue withheavy-tailed (subexponential) service times. The problem ofestimating infinite horizon ruin probabilities in insurancerisk processes with heavy-tailed claims can be transformed into...

Persistent link: https://www.econbiz.de/10010324803

Simulating tail probabilities in GI/GI.1 queues and insurance risk processes with subexponentail distributions

Boots, Nam Kyoo; Shahabuddin, Perwez - 2001

Persistent link: https://www.econbiz.de/10011313925