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growth of computing power. Although other analytic approaches also benefit from this trend, keyword searches of several scholarly search engines reveal that the reliance on simulation is increasing more rapidly. A descriptive analysis paints a compelling picture: simulation is frequently a researcher's preferred method for
An approach to optimize the control parameters for an extended-kanban control system (EKCS) is studied. The EKCS is a Just-in-Time production system that involves the advantages of classical kanban and base-stock control systems. Although EKCS can be modeled as a discrete-time Markov chain, the state space is gigantic even for a single stage production system, making it impossible to numerically compute...
This paper presents method for split-step backward Euler scheme in regime-switching models. We generalize the classical Black-Scholes model to encompass regime-switching properties. The Black-Scholes model is shown to generate significant pricing errors when a regime-switching process governs underlying asset returns. In addition, regime-switching option values are shown to generate implied volatility...
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