In this paper we are interested in Monte Carlo pricing of American options via the Longstaff–Schwartz algorithm. In particular, we show that it is possible to obtain a variance reduction technique based on importance sampling by means of Girsanov theorem. The almost sure convergence of the...

The dynamical hysteresis is studied in the kinetic Ising model in the presence of a sinusoidal magnetic field both by Monte Carlo simulation and by solving the dynamical mean-field equation for the averaged magnetisation. The frequency variations of the dynamic coercive field are studied below...

We have studied the origin of reentrant growth oscillation in kinetic thin-film deposition on stepped surfaces using a Monte Carlo simulation. The results show that reentrant oscillation occurs as a result of growth modes competition between two-dimension-nucleation growth and step-flow growth...

In-plane (bio)matter aggregations of amphiphilic nature are modeled extensively by Monte Carlo simulation in their natural entropic contexts. The modeling starts by designing the aggregations at a molecular level, pointing to its well-known configuration vs conformation character. Then, the...

The stability of ice I cubic (ice Ic) whose voids are occupied by neon particles is investigated using a hybrid type of isobaric grand-canonical Monte Carlo simulation. We show that the resulting neon hydrate is stable under high pressure and temperature where ice Ic alone is unstable,...

A nonparametric approach for European option valuation is proposed in this paper, which adopts a purely jump model to describe the price dynamics of the underlying asset, and the minimal entropy martingale measure for those jumps is used as the pricing measure of this market. A simple Monte...

We studied the coverage dependence of the differential heat of adsorption in the presence of an order–disorder phase transition, by employing theoretical mean-field and quasi-chemical approaches and Monte Carlo simulation, in the framework of the lattice-gas model. For a square lattice, with...

Diversity patterns of tree species in a tropical forest community are approached by a simple lattice model and investigated by Monte Carlo simulations using a backtracking method. Our spatially explicit neutral model is based on a simple statistical physics process, namely the diffusion of...

Using the Schulze model for Monte Carlo simulations of language competition, we include a barrier between the top half and the bottom half of the lattice. We check under which conditions two different languages evolve as dominating in the two halves.

The diffusion of a single dimer adsorbed on highly correlated heterogeneous substrates is studied through Monte Carlo simulations. The topography has been characterized by patches of weak and strong adsorbing sites, arranged in a chessboard-like ordered structure. The time behavior of the...