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Online Supplement to `Efficient Simulation Resource Sharing and Allocation for Selecting the Best'
(2012)
This is the online supplement to the article by the same authors, "Efficient Simulation Resource Sharing and Allocation for Selecting the Best," published in the IEEE Transactions on Automatic Control.
Sensitivity Analysis for Monte Carlo Simulation of Option Pricing
(1995)
Monte Carlo simulation is one alternative for analyzing options markets
when the assumptions of simpler analytical models are violated.
We introduce techniques for the sensitivity analysis of option pricing
which can ...
Online Appendix for “Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario”
(2017)
This is the online appendix, which includes theoretical and numerical supplements containing some technical details and three additional numerical examples, which could not fit in the main body due to page limits by the ...