Proceedings of the 2003 Winter Simulation Conference
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This paper presents an overview of techniques for improving the efficiency of option pricing simulations, including quasi-Monte Carlo methods, variance reduction, and methods for dealing with discretization error.
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Proceedings of the 2003 Winter Simulation Conference
“Spreadsheet simulation” refers to the use of a spreadsheet as a platform for representing simulation models and performing the simulation experiment. This tutorial explains the reasons for using this platform for simulation, discusses why this is frequently an efficient way to build simulation models and execute them, describes how to setup a spreadsheet simulation, and finally suggests when a...
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تاریخ انتشار 2003