We discuss Monte Carlo methods for valuing options with multiple exercise features in discrete time. By extending the recently developed duality ideas for American option pricing we show how to obtain estimates on the prices of such options using Monte Carlo techniques. We prove convergence of our approach and estimate the error. The methods are applied to options in the energy and interest rat...

We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.

The jackknife has a long history as a tool for reducing bias and estimating variances. Here we highlight the use of the jackknife to produce standard errors in Monte Carlo studies and illustrate it with F-statistics also based on the jackknife.

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A fully self-consistent rate-equation approach to irreversible submonolayer growth is presented. This approach explicitly takes into account the correlation between the size of an island and the corresponding average capture zone. It is shown that this leads to capture numbers which depend explicitely on the island-size, and excellent agreement with experimental and Monte Carlo results is found...

An adaptive Monte Carlo strategy for computing global Sobol ́ sensitivity indices has been presented and discussed. The experimental scheme including an approximation tool, variance-based approaches for sensitivity analysis and Monte Carlo technique for multidimensional integration has been described and studied.

Coupling effects in fast reactors using the Monte Carlo technique " (1969). Retrospective Theses and Dissertations. Paper 3736.

Since the work by Miller, Amon, and Reinhardt, which correctly warned against the indiscriminate adjustment of the maximum step size during Monte Carlo (MC) simulations, some researchers have believed that adjusting the maximum step size always leads to systematic errors. In this paper, I demonstrate that when periodic adjustments are done properly, they can improve the overall accuracy of simu...