Monte-Carlo Simulation: Run an MC by simulating 1000 versions of the GBM with the followingparameters;Start Value=100Expected change in each time step (drift): 0% (μ)Volatility (st-dev of random noise): 2% (sigma)Number of Time Steps: 500According to the simulated 1000 scenarios, what is the probability of reaching a value below 100(i.e. the starting value) after 500 steps?According to the simulated 1000 scenarios, what is the probability of reaching a value below 75(i.e. the starting value) after 500 steps?Show with a Python code and the simulation output as a Histogram of values reached at the500th step. (i.e. Histogram of 1000 final values observed in each of the simulated path)

Use this python script:import numpy as np import matplotlib.pyplot as plt # Parameters given for…

Answered: Monte-Carlo Simulation: Run an MC by…

Practical Management Science

6th Edition

ISBN:9781337406659

Author:WINSTON, Wayne L.

Publisher:WINSTON, Wayne L.

Chapter10: Introduction To Simulation Modeling

Section: Chapter Questions

Problem 41P: At the beginning of each week, a machine is in one of four conditions: 1 = excellent; 2 = good; 3 =...

See similar textbooks

Similar questions

#5 Which of the following is a simulation? some method of generating virtual measurements that look like what would be gotten from a sample taking a series of measurements based on multiple samples measuring the mean and standard deviation of measurements from a sample specifying the expected mean and standard variation of measurements for an entire population
This is the Littlefield Simulation. Please help me use the following analysis methods. Background Littlefield Technologies (LT) has developed another DSS product. This new model is manufactured using the same process as your previous assignment “Capacity Management at Littlefield Technologies” — neither the process sequence nor process time distributions have changed. Daily customer demand continues to be random, but this time there is no trend. Expected demand remains stable during the entire product life span. Marketing knows demand will end abruptly on Day 268 when a new model is released. LT will again: cease production, retool, and dispose of the obsolete inventory. Marketing discovered that customers would pay higher prices for shorter lead time contracts. LT has been reluctant to quote shorter lead times because current averages have been running longer than they would like. They are wondering if you might be able to shorten lead times and increase marginal revenues.…
9.19 In bottle production, bubbles that appear in the glass are considered defects. Any botle that has more than two bubbles is elassified as "nonconforming" and is sent to recycling Suppose that a particular production line produces bottles with bubbles at a rate of 1. bubbles per bottle. Bubbles occur independently of one another. a What is the probability that a randomly chosen bottle is nonconfornming? b Bottles are packed in cases of 12. An inspector chooses one bottle from each case and examines it for defects. If it is nonconforming, she inspects the entire case, re placing nonconforming bottles with good ones. This process is called rectification If the chosen bottle conforms (has two or fewer bubbles), then she passes the cuse. In total, 20 cases are produced. What is the probability that at least 18 of them pass! c What is the expected number of nonconforming bottles in the 20 cases after they have been inspected and rectified using the scheme described in part b?
A system consists of three identical components. In order for the system to perform as intended, all of the components must perform. Each has the same probability of performance. If the system is to have a .92 probability of performing, what is the minimum probability of performing needed byeach of the individual components?
do fast
a factory that produces a small number of items per day. In about 30% of working days the factory produces 7 units of the product, in 45% of working days it produces 8 units, and the rest of working days it produces 9 units. After production is completed, each unit is thoroughly inspected. Each unit fails inspection with probability ??. If two or more units fail inspection on the same day, the factory closes for a week to re-calibrate equipment. Say the factory opens today after being closed for a week, write a mathematical expression to calculate the probability that the factory will remain open at least 30 days before closing again.
Deborah Holwager, a concessionaire for the Amway Center in Orlando, has developed a table of conditional values for the various alternatives (stocking decision) and states of nature (size of crowd) Alternatives States of Nature (size of crowd) Large Average Small Large Inventory Ave yge Inventory Smal Inventory $12,000 -51,000 $18,000 $15.000 $16,000 $4,000 $10,000 $5,000 Probabilities associated with the states of nature are 0.35 for a large crowd, 0.50 for an average crowd, and 0.15 for a small crowd. $6.000 a) The alternative that provides Deborah the greatest oxpected monetary value (EMV) is The EMV for this decision is s (enter your answer as a whole number).
The mean repair time of a reproduction machine every time it becomes defective is 5 hours, and is assumed to be available 95% of the time. What is its mean time between failure (MTBF)?
An electronic chess has a useful life that is exponential with a mean of 30 months. Determine each of the following: a) The probability that any given unit will operate at least 45 months b) The probability that any given unit will fail sooner than 30 months
A product engineer has developed the following equation for the cost of a system component: C = (10P) 2, where C is the cost in dollars and P is the probability that the component will operate as expected. The system is composed of two identical components, both of which must operate forthe system to operate. The engineer can spend $173 for the two components. To the nearest two decimal places, what is the largest component probability that can be achieved?
In the selection of police officers, a poor risk that gets hired is also known as a: A. false positive B. true positive C. false negative d. true negative
A product engineer has developed the following equation for the cost of a system component: C = (10P)2, where C is the cost in dollars and P is the probability that the component will operate as expected. The system is composed of 3 identical components, all of which must operate for the system to operate. The engineer can spend $254 for the 3 components. What is the largest component probability that can be achieved? (Do not round your intermediate calculations. Round your final answer to 4 decimal places.) Probability 0.8466

SEE MORE QUESTIONS

Recommended textbooks for you

Practical Management Science

Operations Management

ISBN:

9781337406659

Author:

WINSTON, Wayne L.

Publisher:

Cengage,

Practical Management Science

Operations Management

ISBN:

9781337406659

Author:

WINSTON, Wayne L.

Publisher:

Cengage,

SEE MORE TEXTBOOKS