Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign cur...Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a different strike price in the payoff function. We carry out a comparative performance analysis of different stochastic volatility (SV), stochastic correlation (SC), and stochastic exchange rate (SER) models to determine the best combination of these models for Monte Carlo (MC) simulation pricing. In addition, we test the performance of all model variants with constant correlation as a benchmark. We find that a combination of GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER performs best. In addition, we analyze different discretization schemes and their results. In our simulations, the Milstein scheme yields the best balance between execution times and lower standard deviations of price estimates. Furthermore, we find that incorporating mean reversion into stochastic correlation and stochastic FX rate modeling is beneficial for MC simulation pricing. We improve the accuracy of our simulations by implementing antithetic variates variance reduction. Finally, we derive the correlation risk parameters Cora and Gora in our framework so that correlation hedging of quanto options can be performed.展开更多
针对动态不确定战场环境下多无人机对多区域、多目标的协同察打任务规划过程中存在的信息不确定、任务多约束及航迹强耦合的多目标优化与决策问题,结合Dubins航迹规划算法,提出了一种融合多种改进策略的灰狼优化算法(grey wolf optimiza...针对动态不确定战场环境下多无人机对多区域、多目标的协同察打任务规划过程中存在的信息不确定、任务多约束及航迹强耦合的多目标优化与决策问题,结合Dubins航迹规划算法,提出了一种融合多种改进策略的灰狼优化算法(grey wolf optimization algorithm incorporating multiple improvement strategies,IMISGWO).首先,针对动态环境带来的无人机巡航速度及察打任务消失时间的不确定性,基于可信性理论建立了以最大化任务收益为指标的任务规划数学模型;其次,为实现该问题的快速求解,设计了初始解均匀分布、个体通信机制调整、动态权重更新和跳出局部最优等策略,提升算法解搜索能力;最后,构建了多无人机察打一体典型任务仿真场景,通过数字仿真以及虚实结合半实物仿真试验验证了算法的可行性和有效性.仿真结果表明:算法在求解不确定环境下耦合航迹的多无人机察打一体任务规划问题时,能够生成多机高效的任务执行序列和满足无人机飞行性能约束的飞行轨迹,且能够适用于无人机数量增加导致问题复杂度增加情形下此类问题的求解.展开更多
文摘Quanto options allow the buyer to exchange the foreign currency payoff into the domestic currency at a fixed exchange rate. We investigate quanto options with multiple underlying assets valued in different foreign currencies each with a different strike price in the payoff function. We carry out a comparative performance analysis of different stochastic volatility (SV), stochastic correlation (SC), and stochastic exchange rate (SER) models to determine the best combination of these models for Monte Carlo (MC) simulation pricing. In addition, we test the performance of all model variants with constant correlation as a benchmark. We find that a combination of GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER performs best. In addition, we analyze different discretization schemes and their results. In our simulations, the Milstein scheme yields the best balance between execution times and lower standard deviations of price estimates. Furthermore, we find that incorporating mean reversion into stochastic correlation and stochastic FX rate modeling is beneficial for MC simulation pricing. We improve the accuracy of our simulations by implementing antithetic variates variance reduction. Finally, we derive the correlation risk parameters Cora and Gora in our framework so that correlation hedging of quanto options can be performed.
