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WSC
2004
13 years 10 months ago
2004
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
WSC
1998
13 years 10 months ago
1998
An attractive feature of many simulation packages is their availability on desktop computers and their potential for allowing the user to run a simulation model under different co...
WSC
1998
13 years 10 months ago
1998
This paper presents Timed Petri Nets (TPN) as an analytical approach for verification of computerized queueing network simulation models at steady state. It introduces a generic a...
WSC
1998
13 years 10 months ago
1998
In simulation modeling and analysis, there are two situations where there is uncertainty about the number of parameters needed to specify a model. The first is in input modeling w...
WSC
1998
13 years 10 months ago
1998
In business today, re-engineering has taken a great deal of the cost out of internal corporate processes. Our factories and internal support organizations have become much more ef...