Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 4

monte carlo method Related Publications

4 The Martingale Options Price Valuation for European Puts Using Stochastic Differential Equation Models

Authors: H. C. Chinwenyi, H. D. Ibrahim, F. A. Ahmed

Abstract:

In modern financial mathematics, valuing derivatives such as options is often a tedious task. This is simply because their fair and correct prices in the future are often probabilistic. This paper examines three different Stochastic Differential Equation (SDE) models in finance; the Constant Elasticity of Variance (CEV) model, the Balck-Karasinski model, and the Heston model. The various Martingales option price valuation formulas for these three models were obtained using the replicating portfolio method. Also, the numerical solution of the derived Martingales options price valuation equations for the SDEs models was carried out using the Monte Carlo method which was implemented using MATLAB. Furthermore, results from the numerical examples using published data from the Nigeria Stock Exchange (NSE), all share index data show the effect of increase in the underlying asset value (stock price) on the value of the European Put Option for these models. From the results obtained, we see that an increase in the stock price yields a decrease in the value of the European put option price. Hence, this guides the option holder in making a quality decision by not exercising his right on the option.

Keywords: monte carlo method, martingales, equivalent martingale measure, European put option, girsanov theorem, option price valuation formula, option price valuation

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3 Energy Deposited by Secondary Electrons Generated by Swift Proton Beams through Polymethylmethacrylate

Authors: Maurizio Dapor, Isabel Abril, Pablo de Vera, Rafael Garcia-Molina

Abstract:

The ionization yield of ion tracks in polymers and bio-molecular systems reaches a maximum, known as the Bragg peak, close to the end of the ion trajectories. Along the path of the ions through the materials, many electrons are generated, which produce a cascade of further ionizations and, consequently, a shower of secondary electrons. Among these, very low energy secondary electrons can produce damage in the biomolecules by dissociative electron attachment. This work deals with the calculation of the energy distribution of electrons produced by protons in a sample of polymethylmethacrylate (PMMA), a material that is used as a phantom for living tissues in hadron therapy. PMMA is also of relevance for microelectronics in CMOS technologies and as a photoresist mask in electron beam lithography. We present a Monte Carlo code that, starting from a realistic description of the energy distribution of the electrons ejected by protons moving through PMMA, simulates the entire cascade of generated secondary electrons. By following in detail the motion of all these electrons, we find the radial distribution of the energy that they deposit in PMMA for several initial proton energies characteristic of the Bragg peak.

Keywords: monte carlo method, secondary electrons, energetic ions, ion-beam cancer therapy, ionization cross section, polymethylmethacrylate, proton beams, radial energy distribution

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2 Statistical Description of Counterpoise Effective Length Based On Regressive Formulas

Authors: Petar Sarajcev, Josip Vasilj, Damir Jakus

Abstract:

This paper presents a novel statistical description of the counterpoise effective length due to lightning surges, where the (impulse) effective length had been obtained by means of regressive formulas applied to the transient simulation results. The effective length is described in terms of a statistical distribution function, from which median, mean, variance, and other parameters of interest could be readily obtained. The influence of lightning current amplitude, lightning front duration, and soil resistivity on the effective length has been accounted for, assuming statistical nature of these parameters. A method for determining the optimal counterpoise length, in terms of the statistical impulse effective length, is also presented. It is based on estimating the number of dangerous events associated with lightning strikes. Proposed statistical description and the associated method provide valuable information which could aid the design engineer in optimising physical lengths of counterpoises in different grounding arrangements and soil resistivity situations.

Keywords: Lightning, monte carlo method, counterpoise, grounding conductor, effective length, statistical distribution

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1 Probabilistic Model Development for Project Performance Forecasting

Authors: Milad Eghtedari Naeini, Gholamreza Heravi

Abstract:

In this paper, based on the past project cost and time performance, a model for forecasting project cost performance is developed. This study presents a probabilistic project control concept to assure an acceptable forecast of project cost performance. In this concept project activities are classified into sub-groups entitled control accounts. Then obtain the Stochastic S-Curve (SS-Curve), for each sub-group and the project SS-Curve is obtained by summing sub-groups- SS-Curves. In this model, project cost uncertainties are considered through Beta distribution functions of the project activities costs required to complete the project at every selected time sections through project accomplishment, which are extracted from a variety of sources. Based on this model, after a percentage of the project progress, the project performance is measured via Earned Value Management to adjust the primary cost probability distribution functions. Then, accordingly the future project cost performance is predicted by using the Monte-Carlo simulation method.

Keywords: monte carlo method, probabilistic model, Project forecasting, Stochastic S-curve

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