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Multidimensional Quasi-Monte Carlo Malliavin Greeks
Greeks, Risk-Management Quasi-Monte Carlo Methods Malliavin Calculus
2011/3/31
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Mon...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Markov chain Monte Carlo Bayesian Cointegrated VAR model
2010/10/19
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesia...