670 search results - page 88 / 134 » Introduction to Monte Carlo simulation |
WSC
2008
14 years 1 months ago
2008
Combinatorial auctions, where buyers can bid on bundles of items rather than bidding them sequentially, often lead to more economically efficient allocations of financial resource...
WSC
2004
14 years 10 days ago
2004
Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
CSDA
2006
13 years 11 months ago
2006
Following the work of Hurvich, Shumway, and Tsai (1990), we propose an "improved" variant of the Akaike information criterion, AICi, for state-space model selection. The...
FS
2011
13 years 2 months ago
2011
Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
ICML
2007
IEEE
14 years 11 months ago
2007
IEEE
The UCT algorithm learns a value function online using sample-based search. The TD() algorithm can learn a value function offline for the on-policy distribution. We consider three...