In this paper, we apply a mixed Monte Carlo and Quasi-Monte Carlo method, which we proposed in a previous paper, to problems from mathematical finance. We estimate the value of an European Call option and of an Asian option using our mixed method, under different horizont times. We assume that the stock price of the underlaying asset S = S(t) is driven by a Lévy process L(t). We compare our est...

There have been few studies on practical error estimation methods of quasi-Monte Carlo integrations. Recently, some theoretical works were developed by Owen to analyze the quasi-Monte Carlo integration error. However his method given by those works is complicated to be implemented and needs huge computational e orts, so it would be of some interest to investigate into a simple error estimation ...

In this paper we investigate the so called foresight bias that may appear in the Monte-Carlo pricing of Bermudan and compound options if the exercise criteria is calculated by the same Monte-Carlo simulation as the exercise values. The standard approach to remove the foresight bias is to use two independent Monte-Carlo simulations: One simulation is used to estimate the exercise criteria (as a ...

In a partially linear regression model with a high dimensional unknown component we find an estimator of the parameter of the linear part based on projection pursuit methods to be considerably more efficient than the standard density weighted kernel estimator.

background: because of the adverse effects of ionizing radiation on fetuses, prior to radiotherapy of pregnant patients, fetal dose should be estimated. fetal dose has been studied by several authors in different depths in phantoms with various abdomen thicknesses (at). in this study, the effect of maternal at and depth in fetal dosimetry was investigated, using peripheral dose (pd) distributio...

conclusions according to the results, the old dosimetry formalisms, overestimate the dose especially towards the applicator’s tip. while the tg-43u1 based software perform the calculations more accurately. results for a typical arrangement of 10 active pellets in the applicator, the percentage difference between doses obtained by the new algorithm at 1cm distance from the tip of the applicator ...

large quantities of radiopharmaceuticals prescribed for treatment and diagnosis are excreted through kidney. therefore, radiation unwanted dose is created in kidney. as a result, exact calculation of prescribed radiopharmaceuticals amount is important. monte carlo method is used for simulation of radiation transport in body due to random nature of radiation. in this research, for the first time...

the interaction between the solute and the solsent molecules play a crucial role in understanding the various molecular processes involved in chemistry and biochemistry, so in this work the potential energy of active site of azurin have been calculated in solvent by the monte carlo simulation. in this paper we present quantitative results of monte carlo calculations of potential energies of ...

The application of the diffusion Monte Carlo method to a strongly interacting Fermi system as normal liquid 3 He is explored. We show that the fixed-node method together with the released-node technique and a systematic method to analytically improve the nodal surface constitute an efficient strategy to improve the calculation up to a desired accuracy. This methodology shows un-ambiguously that...