Similar Search Results

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Managing uncertain capacities for network revenue optimization

Previgliano, Fabricio; Vulcano, Gustavo - In: Manufacturing & service operations management : M & SOM 24 (2022) 2, pp. 1202-1219

Persistent link: https://www.econbiz.de/10013258799

A simulation-optimization framework for generating dynamic dispatching rules for stochastic job shop with earliness and tardiness penalties

Gohareh, Mehdy Morady; Mansouri, Ehsan - In: Computers & operations research : and their … 140 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013173501

Simulation stochastischer Systeme : Eine anwendungsorientierte Einführung

Waldmann, Karl-Heinz - 2016

Inhaltsverzeichnis -- Einführung -- Erzeugung von Zufallsvariablen -- Ereignisorientierte Simulation -- Output Analyse …Das vorliegende Lehrbuch ist eine umfassende Einführung in die Simulation stochastischer Systeme. Auf 400 Seiten wird …

Persistent link: https://www.econbiz.de/10014019624

Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

Meier, Christian; Li, Lingfei; Zhang, Gongqiu - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1292-1308

Persistent link: https://www.econbiz.de/10013498792

Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations

Cui, Zhenyu - 2020

integrated variance, thus enabling a highly efficient simulation scheme. Extensive numerical examples illustrate the accuracy and …We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems … based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation …

Persistent link: https://www.econbiz.de/10012823283