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...
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...
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...
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...
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...