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。
文摘依据FFT→优化窗→IFFT思路,突破线性时频变换的窗函数积分性能桎梏,实现高性能优化窗函数的线性时频变换应用,建立新型时频变换算法——K-S变换.对信号x(t)的FFT频谱向量进行频移处理后,与该频移点下Kaiser优化窗的频谱向量进行Hadamard乘积,再将乘积结果进行FFT逆变换(IFFT),构造出K-S变换复时频矩阵,由此获得x(t)的时间-频率-幅值、时间-频率-相位三维信息;给出逆变换的数学推导与局部性质、线性性质和变分辨率特性;0~150 kHz电网的稳态与时变超谐波信号仿真实验表明,K-S变换的时域、频域分辨能力均优于流行的短时傅里叶变换、S变换,具有优良的变分辨率性能;0~40 kHz超谐波信号的实测证明,基于K-S变换的超谐波电压幅值测量绝对误差均小于0.032 3 V.
