The interests of vulnerable groups can’t be guaranteed due to their weaker capacity and the limited interests demand channels during the water pollution conflicts. The interest protection for the vulnerable people in...The interests of vulnerable groups can’t be guaranteed due to their weaker capacity and the limited interests demand channels during the water pollution conflicts. The interest protection for the vulnerable people in the water pollution conflicts has attracted attentions of the international scholars. The paper tries to construct the market mechanism which can make the vulnerable people to involve in the emission trading. The vulnerable people can buy American put option in the emission trading market. When the price of the emission runs below the contract price, the vulnerable people can get the benefit through executing the option. When the price of the emission runs above the contract price, the vulnerable people can give up the right. The binomial tree option pricing model can help the vulnerable people to make a decision through the analysis of the worth of the American put option.展开更多
We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining...We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs into consideration. The algorithm that we propose partitions a binomial tree into blocks. In any round of computation a block is further partitioned into regions which are assigned to distinct processors. To minimise load imbalance the assignment of nodes to processors is dynamically adjusted before each new round starts. Synchronisation is required both within a round and between two successive rounds. The parallel speedup of the algorithm is proportional to the number of processors used. The parallel algorithm was implemented in C/C++ via POSIX Threads, and was tested on a machine with 8 processors. In the pricing of an American put option, the parallel speedup against an efficient sequential implementation was 5.26 using 8 processors and 1500 time steps, achieving a parallel efficiency of 65.75%.展开更多
文摘The interests of vulnerable groups can’t be guaranteed due to their weaker capacity and the limited interests demand channels during the water pollution conflicts. The interest protection for the vulnerable people in the water pollution conflicts has attracted attentions of the international scholars. The paper tries to construct the market mechanism which can make the vulnerable people to involve in the emission trading. The vulnerable people can buy American put option in the emission trading market. When the price of the emission runs below the contract price, the vulnerable people can get the benefit through executing the option. When the price of the emission runs above the contract price, the vulnerable people can give up the right. The binomial tree option pricing model can help the vulnerable people to make a decision through the analysis of the worth of the American put option.
文摘We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs into consideration. The algorithm that we propose partitions a binomial tree into blocks. In any round of computation a block is further partitioned into regions which are assigned to distinct processors. To minimise load imbalance the assignment of nodes to processors is dynamically adjusted before each new round starts. Synchronisation is required both within a round and between two successive rounds. The parallel speedup of the algorithm is proportional to the number of processors used. The parallel algorithm was implemented in C/C++ via POSIX Threads, and was tested on a machine with 8 processors. In the pricing of an American put option, the parallel speedup against an efficient sequential implementation was 5.26 using 8 processors and 1500 time steps, achieving a parallel efficiency of 65.75%.
