Pricing of Path-Dependent European-Type Options Using Monte Carlo Simulation

2015 ◽  
pp. 99-106
Author(s):  
Siddhartha P. Chakrabarty
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Path Dependent

Pricing of path-dependent American options by Monte Carlo simulation

2007 ◽  
Vol 31 (11) ◽  
pp. 3478-3502 ◽  
Author(s):  
Hajime Fujiwara ◽  
Masaaki Kijima
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
American Options ◽  
Path Dependent

Path-Dependent Options: Extending the Monte Carlo Simulation Approach

1997 ◽  
Vol 43 (11) ◽  
pp. 1589-1602 ◽  
Author(s):  
Dwight Grant ◽  
Gautam Vora ◽  
David Weeks
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Simulation Approach ◽  
Path Dependent

Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation

2016 ◽  
Vol 6 (3) ◽  
pp. 314-336 ◽  
Author(s):  
Minseok Park ◽  
Kyungsub Lee ◽  
Geon Ho Choe
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Brownian Motion ◽  
Jump Diffusion ◽  
Recursive Relation ◽  
Strike Price ◽  
Delta Hedging ◽  
Approximate Distribution ◽  
Jump Diffusion Model ◽  
Path Dependent

AbstractWe introduce a new method to compute the approximate distribution of the Delta-hedging error for a path-dependent option, and calculate its value over various strike prices via a recursive relation and numerical integration. Including geometric Brownian motion and Merton's jump diffusion model, we obtain the approximate distribution of the Delta-hedging error by differentiating its price with respect to the strike price. The distribution from Monte Carlo simulation is compared with that obtained by our method.

Electron Scattering in Solids

1990 ◽  
Vol 48 (2) ◽  
pp. 4-5
Author(s):  
Ryuichi Shimizu ◽  
Ze-Jun Ding
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Angular Distribution ◽  
Elastic Scattering ◽  
Electron Scattering ◽  
Cross Sections ◽  
Expansion Method ◽  
Electron Excitation ◽  
Partial Wave Expansion ◽  
Backscattered Electrons

Monte Carlo simulation has been becoming most powerful tool to describe the electron scattering in solids, leading to more comprehensive understanding of the complicated mechanism of generation of various types of signals for microbeam analysis.The present paper proposes a practical model for the Monte Carlo simulation of scattering processes of a penetrating electron and the generation of the slow secondaries in solids. The model is based on the combined use of Gryzinski’s inner-shell electron excitation function and the dielectric function for taking into account the valence electron contribution in inelastic scattering processes, while the cross-sections derived by partial wave expansion method are used for describing elastic scattering processes. An improvement of the use of this elastic scattering cross-section can be seen in the success to describe the anisotropy of angular distribution of elastically backscattered electrons from Au in low energy region, shown in Fig.l. Fig.l(a) shows the elastic cross-sections of 600 eV electron for single Au-atom, clearly indicating that the angular distribution is no more smooth as expected from Rutherford scattering formula, but has the socalled lobes appearing at the large scattering angle.

Determination of Stoichiometry of GaAs Component in (Gaas)Ge Epitaxially Grown Thin Films by Electron Microprobe X-Ray Analysis

1990 ◽  
Vol 48 (2) ◽  
pp. 264-265
Author(s):  
D. R. Liu ◽  
S. S. Shinozaki ◽  
R. J. Baird
Keyword(s):  
Thin Film ◽  
Thin Films ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Compound Semiconductors ◽  
Energy Dispersive Analysis ◽  
X Ray ◽  
Metastable Alloys ◽  
Lower Voltage

The epitaxially grown (GaAs)Ge thin film has been arousing much interest because it is one of metastable alloys of III-V compound semiconductors with germanium and a possible candidate in optoelectronic applications. It is important to be able to accurately determine the composition of the film, particularly whether or not the GaAs component is in stoichiometry, but x-ray energy dispersive analysis (EDS) cannot meet this need. The thickness of the film is usually about 0.5-1.5 μm. If Kα peaks are used for quantification, the accelerating voltage must be more than 10 kV in order for these peaks to be excited. Under this voltage, the generation depth of x-ray photons approaches 1 μm, as evidenced by a Monte Carlo simulation and actual x-ray intensity measurement as discussed below. If a lower voltage is used to reduce the generation depth, their L peaks have to be used. But these L peaks actually are merged as one big hump simply because the atomic numbers of these three elements are relatively small and close together, and the EDS energy resolution is limited.

A Monte Carlo simulation study of associated liquid crystals

1999 ◽  
Vol 97 (11) ◽  
pp. 1173-1184 ◽  
Author(s):  
R. Berardi, M. Fehervari, C. Zannoni
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Liquid Crystals ◽  
Simulation Study ◽  
Monte Carlo Simulation Study
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