Pricing and hedging American-style options: a simple simulation-based approach

In this paper, we determine an optimal range for angle tracking radars (ATRs) based on evaluating the standard deviation of all kinds of errors in a tracking system. In the past, this optimal range has often been computed by the simulation of the total error components; however, we are going to introduce a closed form for this computation which allows us to obtain the optimal range directly. Thus, for this purpose, we firstly solve an optimization problem to achieve the closed form of the optimal range (Ropt.) and then, we compute it by doing a simple simulation. The results show that both theoretical and simulation-based computations are similar to each other.

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On simulation of random vectors by given densities in regions and on their boundaries

Journal of Applied Probability ◽

10.2307/3215247 ◽

1994 ◽

Vol 31 (1) ◽

pp. 205-220 ◽

Cited By ~ 5

Author(s):

K. A. Borovkov

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Stochastic Simulation ◽

Universal Method ◽

Random Vectors ◽

Remarkable Feature ◽

Dynamic Monte Carlo ◽

Simple Simulation ◽

Simulation Based ◽

Open Region

We suggest a new universal method of stochastic simulation, allowing us to generate rather efficiently random vectors with arbitrary densities in a connected open region or on its boundary. Our method belongs to the class of dynamic Monte Carlo procedures and is based on a special construction of a Markov chain on the boundary of the region. Its remarkable feature is that this chain admits a simple simulation, based on a universal (depending only on the dimensionality of the space) stochastic driver.

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Spatial Analysis of Existing Public Open Space for Evacuation Area During Secondary Earthquake; A Case Study: Sukahaji Village, Bandung

Forum Geografi ◽

10.23917/forgeo.v27i2.2371 ◽

2016 ◽

Vol 27 (2) ◽

pp. 119

Author(s):

Saut Sagala ◽

Sari Saraswati

Keyword(s):

Urban Areas ◽

Open Space ◽

Earthquake Risk ◽

Open Spaces ◽

Public Open Space ◽

Simple Simulation ◽

Simulation Based ◽

Building Footprint ◽

Image Building

Population living in highly densed settlements in urban area is considered vulnerable to earthquake risk due to limited space exists in the area. To reduce population risks to aftershock earthquake in highly dense settlements, this paper applied simple simulation based on supply-demand concepts in order to understand carrying capacity of current open space for people to evacuate. The case study takes place in one of the most densed populated areas in Bandung City under aftershock earthquake.. The research integrates multi-sources of data: sattelite image, building footprint and GPS field survey to produce detailed landuse. The results show that open spaces that exist in the study area is not able to contain all residents when an aftershock occurs. Finally, this paper recommends some strategies that are necessary to reduce the risks in highly densed urban areas.

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On simulation of random vectors by given densities in regions and on their boundaries

Journal of Applied Probability ◽

10.1017/s0021900200107454 ◽

1994 ◽

Vol 31 (01) ◽

pp. 205-220

Author(s):

K. A. Borovkov

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Stochastic Simulation ◽

Universal Method ◽

Random Vectors ◽

Remarkable Feature ◽

Dynamic Monte Carlo ◽

Simple Simulation ◽

Simulation Based ◽

Open Region

We suggest a new universal method of stochastic simulation, allowing us to generate rather efficiently random vectors with arbitrary densities in a connected open region or on its boundary. Our method belongs to the class of dynamic Monte Carlo procedures and is based on a special construction of a Markov chain on the boundary of the region. Its remarkable feature is that this chain admits a simple simulation, based on a universal (depending only on the dimensionality of the space) stochastic driver.

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Application of an Adaptive Forest Management Simulation Model Based on Zoning in a Man-Made Forest

Forests ◽

10.3390/f10060482 ◽

2019 ◽

Vol 10 (6) ◽

pp. 482 ◽

Cited By ~ 2

Author(s):

Katsuaki Sugiura ◽

Waka Sonohara

Keyword(s):

Field Survey ◽

Assessment Method ◽

Actual State ◽

Forest Stands ◽

Management Options ◽

Simple Simulation ◽

Simulation Based ◽

Kanagawa Prefecture

In this study, shifts from the current forest physiognomy to a target forest physiognomy were modeled by applying the concept of zoning simulation. The objective was to present the process of generating management options for man-made forests in Kanagawa Prefecture, Japan. The assessment method was a wide-ranging and long-term simple simulation based on several indicators, such as geographical distribution and tree species, and adapted the concept of changes in forest physiognomy. A headwater forest in Kanagawa Prefecture, which covers an area of about 3784 ha and consists of 4445 forest stands, was investigated. Four plans were established based on the present state of the forest stands. The results indicated that factors for expressing forest physiognomy and their expression methods should be determined, and physiognomy models should be constructed to establish the actual state of the forests in each region. With this simulation, it is possible to forecast long-term changes at forest stand and basin levels for each scenario. However, only data from forestry register were used in this study, and it is expected that different results would be obtained by conducting a determination of stand position in the forest physiognomy together with a field survey.

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