Monte-Carlo Black-Scholes Implementation using OpenCL Standard

Multi-underlying Monte Carlo with Black-Scholes dynamics

Total skin electron therapy (TSET): Monte Carlo Simulation and implementation

Introduction: Total skin electron irradiation technique is used in treatment of the mycosis fungoid. The implementation of this technique requires non-standard measurements and complex dosimetry methods. Operating procedures for total skin electron irradiation and its dosimetry vary in different radiation therapy centers in the world. In this article, validation of TSET techniq...

Implementation of Monte Carlo Algorithms for Eigenvalue Problem Using MPI

The problem of evaluating the dominant eigenvalue of real matrices using Monte Carlo numerical methods is considered. Three almost optimal Monte Carlo algorithms are presented: – Direct Monte Carlo algorithm (DMC) for calculating the largest eigenvalue of a matrix A. The algorithm uses iterations with the given matrix. – Resolvent Monte Carlo algorithm (RMC) for calculating the smallest or the ...

Revisiting Black-Scholes Equation

In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset market. In special case where the interest ...

Markovian Black and Scholes

We generalize the classical binomial approach of the model of Black and Scholes to a Markov binomial approach. This leads to a new formula for the cost of an option.