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Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study
Savety Loading Chain Ladder Estimates Monte Carlo Simulation Study
2010/10/21
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder...