scholarly journals USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS

2014 ◽  
Vol 44 (2) ◽  
pp. 237-276 ◽  
Author(s):  
Griselda Deelstra ◽  
Grégory Rayée ◽  
Steven Vanduffel ◽  
Jing Yao
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Lower Bounds ◽  
Mathematical Finance ◽  
Asian Option ◽  
Asian Options ◽  
Option Prices ◽  
Control Variates ◽  
Proposed Model ◽  
Model Independent

AbstractAlbrecheret al. (Albrecher, H., Mayer Ph., Schoutens, W. (2008) General lower bounds for arithmetic Asian option prices.Applied Mathematical Finance,15, 123–149) have proposed model-independent lower bounds for arithmetic Asian options. In this paper we provide an alternative and more elementary derivation of their results. We use the bounds as control variates to develop a simple Monte Carlo method for pricing contracts with Asian-style features. The conditioning idea that is inherent in our approach also inspires us to propose a new semi-analytic pricing approach. We compare both approaches and conclude that these both have their merits and are useful in practice. In particular, we point out that our newly proposed Monte Carlo method allows to deal with Asian-style products that appear in insurance (e.g., unit-linked contracts) in a very efficient way, and outperforms other known Monte Carlo methods that are based on control variates.

Simulation of Thermal Cooling Curves in the Process to Ordering Alloys by the Monte Carlo Method

2021 ◽  
Vol 410 ◽  
pp. 227-234
Author(s):  
Albert R. Khalikov ◽  
Sergey V. Dmitriev
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Stoichiometric Composition ◽  
Square Lattice ◽  
Cooling Curves ◽  
Ordering Kinetics ◽  
The Monte Carlo Method ◽  
Proposed Model ◽  
Coordination Spheres ◽  
Thermal Cooling

An algorithm is proposed for constructing curves of thermal cooling and ordering kinetics with a monotonic decrease in temperature for alloys to stoichiometric composition. Modeling is carried out by the Monte Carlo method in the model of a rigid crystal lattice and pair interatomic interactions. The application of the algorithm is illustrated by the example to a square lattice, taking into account interatomic interactions in the first two coordination spheres for alloys with the composition AB, A3B, and A3B5. The proposed model makes it possible to calculate individual sections of the phase diagrams to the state for binary alloys.

General Lower Bounds for Arithmetic Asian Option Prices

2008 ◽  
Vol 15 (2) ◽  
pp. 123-149 ◽  
Author(s):  
H. Albrecher ◽  
P. A. Mayer ◽  
W. Schoutens
Keyword(s):  
Lower Bounds ◽  
Asian Option ◽  
Option Prices

scholarly journals Using Monte Carlo method to estimate the behavior of neural training between balanced and unbalanced data in classification of patterns

2018 ◽  
Vol 7 (2) ◽  
pp. 1
Author(s):  
Paulo Marcelo Tasinaffo ◽  
Gildárcio Sousa Gonçalves ◽  
Adilson Marques da Cunha ◽  
Luiz Alberto Vieira Dias
Keyword(s):  
Neural Network ◽  
Artificial Neural Network ◽  
Monte Carlo ◽  
Monte Carlo Method ◽  
Mean Squared Error ◽  
Classification Problem ◽  
Computational Environment ◽  
The Monte Carlo Method ◽  
Proposed Model ◽  
Artificial Neural

This paper proposes to develop a model-based Monte Carlo method for computationally determining the best mean squared error of training for an artificial neural network with feedforward architecture. It is applied for a particular non-linear classification problem of input/output patterns in a computational environment with abundant data. The Monte Carlo method allows computationally checking that balanced data are much better than non-balanced ones for an artificial neural network to learn by means of supervised learning. The major contribution of this investigation is that, the proposed model can be tested by analogy, considering also the fraud detection problem in credit cards, where the amount of training patterns used are high.

scholarly journals A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES

2006 ◽  
Vol 09 (06) ◽  
pp. 843-867 ◽  
Author(s):  
FRED ESPEN BENTH ◽  
MARTIN GROTH ◽  
PAUL C. KETTLER
Keyword(s):  
Monte Carlo ◽  
Value At Risk ◽  
Scale Parameter ◽  
Monte Carlo Algorithm ◽  
Asian Options ◽  
Inverse Gaussian ◽  
Option Prices ◽  
Quasi Monte Carlo ◽  
Normal Inverse Gaussian Distribution ◽  
Normal Inverse Gaussian

We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in Rydberg [13], and is based on sampling three independent uniform variables. We apply the algorithm to three problems appearing in finance. First, we consider the valuation of plain vanilla call options and Asian options. The next application considers the problem of deriving implied parameters for the underlying asset dynamics based on observed option prices. We employ our proposed algorithm together with the Newton Method, and show how we can find the scale parameter of the NIG-distribution of the logreturns in case of a call or an Asian option. We also provide an extensive error analysis for this method. Finally we study the calculation of Value-at-Risk for a portfolio of nonlinear products where the returns are modeled by NIG random variables.

The analysis of electron scattering among multiplying layer in EBAPS using optimized Monte Carlo method

2020 ◽  
Vol 34 (34) ◽  
pp. 2050398
Author(s):  
Jinzhou Bai ◽  
Yonglin Bai ◽  
Xun Hou ◽  
Weiwei Cao ◽  
Yang Yang ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Electron Scattering ◽  
Uv Spectroscopy ◽  
Structural Parameters ◽  
Spectral Response ◽  
Low Noise ◽  
Detection Sensitivity ◽  
Electron Multiplier ◽  
Proposed Model

Electron bombarded Active Pixel Sensor (EBAPS) is well known for its low noise in low-light level imaging, high mechanical integration, and a relatively low cost. It plays an important role in areas of the industrial process as well as the fundamental scientific research. However, the performance of EBAPS is intensively influenced by the structural parameters (i.e. the acceleration voltage between cathode and anode, thickness of the passivation layer, etc.). Due to the influence of these factors mentioned above, the performance of EBAPS is restricted to achieve its best condition. Herein, a model based on the optimized Monte Carlo method was proposed for effectively analyzing the scattering behavior of electrons within the electron multiplier layer. Unlike traditional simulation, which only deals with the electron scattering in longitudinal, in this paper, we simulate the electron scattering character not only in horizontal but also vertical among the multiplier layer, which would react to the influence induced by structural parameters more complete and more precise. Based on the proposed model, an experimental prototype of EBAPS is built and its detection sensitivity achieves [Formula: see text] lux under spectral response of ultraviolet (UV) spectroscopy, which improved a lot from our former design. The proposed model can be used for analyzing the influence induced by structural parameters, which exhibit enormous potential for exploring the high-gain EBAPS.

Statistical Assessment of Integrity in Steam Generator Tubes Considering Uncertainty of NDE

2006 ◽  
Vol 326-328 ◽  
pp. 545-548
Author(s):  
Jae Bong Lee ◽  
Jai Hak Park ◽  
Hong Deok Kim ◽  
Han Sub Chung ◽  
Tae Ryong Kim
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Steam Generator ◽  
Structural Integrity ◽  
Assessment Model ◽  
Statistical Assessment ◽  
The Monte Carlo Method ◽  
Proposed Model ◽  
Inspection Data ◽  
Steam Generator Tubes

A statistical assessment model for structural integrity of steam generator tubes with axial cracks at the top of the tubesheet was proposed using Monte Carlo method. In the model, a method for estimating the number of "real cracks" from in-situ inspection (ISI) data was used. Based on the estimated "real cracks", the number of newly detected cracks and growth of cracks during arbitrary operating period were simulated using the Monte Carlo method. The flaw growth rate used in the simulation was statistically calculated from the periodic in-service non-destructive inspection data. The number of cracks, the probabilistic distribution of crack sizes at the end of next operating interval and the probability of burst during operation were calculated from numerously repeated simulations using the proposed model.

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