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Displaying similar documents to “A New Algorithm for Monte Carlo for American Options”

Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

Alobaidi, Ghada, Mallier, Roland (2002)

Serdica Mathematical Journal

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∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider...

Automatic risk control based on FSA methodology adaptation for safety assessment in intelligent buildings

Jerzy Mikulik, Mirosław Zajdel (2009)

International Journal of Applied Mathematics and Computer Science

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The main area which Formal Safety Assessment (FSA) methodology was created for is maritime safety. Its model presents quantitative risk estimation and takes detailed information about accident characteristics into account. Nowadays, it is broadly used in shipping navigation around the world. It has already been shown that FSA can be widely used for the assessment of pilotage safety. On the basis of analysis and conclusion on the FSA approach, this paper attempts to show that the adaptation...

Hybrid approach to design optimisation: preserve accuracy, reduce dimensionality

Mariusz Kamola (2007)

International Journal of Applied Mathematics and Computer Science

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The paper proposes a design procedure for the creation of a robust and effective hybrid algorithm, tailored to and capable of carrying out a given design optimisation task. In the course of algorithm creation, a small set of simple optimisation methods is chosen, out of which those performing best will constitute the hybrid algorithm. The simplicity of the method allows implementing ad-hoc modifications if unexpected adverse features of the optimisation problem are found. It is postulated...

Relative Measurement and Its Generalization in Decision Making. Why Pairwise Comparisons are Central in Mathematics for the Measurement of Intangible Factors. The Analytic Hierarchy/Network Process.

Thomas L. Saaty (2008)

RACSAM

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According to the great mathematician Henri Lebesgue, making direct comparisons of objects with regard to a property is a fundamental mathematical process for deriving measurements. Measuring objects by using a known scale first then comparing the measurements works well for properties for which scales of measurement exist. The theme of this paper is that direct comparisons are necessary to establish measurements for intangible properties that have no scales of measurement. In that case...