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An Introduction to Financial Option Valuation_2

Tham khảo tài liệu 'an introduction to financial option valuation_2', tài chính - ngân hàng, tài chính doanh nghiệp phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 4.5 Program of Chapter 4 and walkthrough 43 PROGRAMMING EXERCISES P4.1. Adapt ch04.m to the case where Ệi in 4.7 are from the exponential distribution with parameter À 1. Hint make use of Exercise 3.4 and Exercise 4.2. P4.2. Adapt ch04.m so that it produces a quantile-quantile plot as in Figure 4.6. Note that the program of Chapter 5 shows how such a plot may be generated. Quotes In 1955 before computers were so common the RAND Corporation published a book entitled A Million Random Digits. It was used in selecting random trials for experimental designs and simulations and perhaps as bedtime reading for insomniacs . It was soon realized however that if everyone always started on page one then all trials and simulations by all the book s users would depend upon the quirks of the same random sequence. This generated much debate on how to select a random starting point in the table of random numbers. MICHAEL T. HEATH Heath 2002 The first thing needed for a stochastic simulation is a source of randomness. This is often taken for granted but is of fundamental importance. Regrettably many of the so-called random functions supplied with the most widespread computers are far from random and many simulation studies have been invalidated as a consequence. BRIAN D. RIPLEY Ripley 1997 Here is an interesting number 0.95012928514718. This is the first number produced by the MATLAB random number generator with its default settings. Start up a fresh MATLAB set format long type rand and it s the number you get. If all MATLAB users all around the world on all different computers keep getting this same number is it really random No it isn t. Computers are in principle deterministic machines and should not exhibit random behavior. If your computer doesn t access some external device like a gamma ray counter or a clock then it must really be computing pseudorandom numbers. CLEVE B. MOLER AND KATHRYN A. MOLER in Numerical Computing with MATLAB see www.mathworks.com moler 5 Asset price .