The pricing of moving window Asian option with an early exercise feature is considered a challenging problem in option pricing. The computational challenge lies in the unknown optimal exercise strategy and in the high...The pricing of moving window Asian option with an early exercise feature is considered a challenging problem in option pricing. The computational challenge lies in the unknown optimal exercise strategy and in the high dimensionality required for approximating the early exercise boundary. We use sparse grid basis functions in the Least Squares Monte Carlo approach to solve this “curse of dimensionality” problem. The resulting algorithm provides a general and convergent method for pricing moving window Asian options. The sparse grid technique presented in this paper can be generalized to pricing other high-dimensional, early-exercisable derivatives.展开更多
Windows CE是一种典型的嵌入式系统,由于其配置的硬件资源的瓶颈,内存资源比一般的PC相对紧张。所以在安装Windows CE的设备下显示大像素图像文件比在一般的PC(Windows2000系统)上更加困难。介绍在Windows CE环境下如何利用分块显示法,...Windows CE是一种典型的嵌入式系统,由于其配置的硬件资源的瓶颈,内存资源比一般的PC相对紧张。所以在安装Windows CE的设备下显示大像素图像文件比在一般的PC(Windows2000系统)上更加困难。介绍在Windows CE环境下如何利用分块显示法,对大像素图像进行分块显示。提出首先在PC机上利用网格分块法将一幅大像素图像文件BMP,JPEG图像文件分割压缩成多块像素量小的BMP,JPEG图像文件,对每个小图像文件进行编号,存放到Windows CE PDA上;然后在Windows CE PDA上利用网格检索的方法进行检索所需要的像素块的索引号;最后利用多线程的方法在显示区分块显示,实现大像素图像在Windows CE下的显示。展开更多
文摘The pricing of moving window Asian option with an early exercise feature is considered a challenging problem in option pricing. The computational challenge lies in the unknown optimal exercise strategy and in the high dimensionality required for approximating the early exercise boundary. We use sparse grid basis functions in the Least Squares Monte Carlo approach to solve this “curse of dimensionality” problem. The resulting algorithm provides a general and convergent method for pricing moving window Asian options. The sparse grid technique presented in this paper can be generalized to pricing other high-dimensional, early-exercisable derivatives.
文摘Windows CE是一种典型的嵌入式系统,由于其配置的硬件资源的瓶颈,内存资源比一般的PC相对紧张。所以在安装Windows CE的设备下显示大像素图像文件比在一般的PC(Windows2000系统)上更加困难。介绍在Windows CE环境下如何利用分块显示法,对大像素图像进行分块显示。提出首先在PC机上利用网格分块法将一幅大像素图像文件BMP,JPEG图像文件分割压缩成多块像素量小的BMP,JPEG图像文件,对每个小图像文件进行编号,存放到Windows CE PDA上;然后在Windows CE PDA上利用网格检索的方法进行检索所需要的像素块的索引号;最后利用多线程的方法在显示区分块显示,实现大像素图像在Windows CE下的显示。
