China＇s rising global stature over the recent past lends the country to play an important role in shaping the economic growth and develop merit agenda of the world economy. This hasmanifested in China＇s own agenda i...China＇s rising global stature over the recent past lends the country to play an important role in shaping the economic growth and develop merit agenda of the world economy. This hasmanifested in China＇s own agenda in the G20 and the International Monetary Fund （IMF）, along with the global monetary and financial systems, interna tional trade and investment policies, including those policies aimed at internationalization of the Chinese currency, renminbi.展开更多
The exponentially-distributed random timestepping algorithm with boundary test is implemented to evaluate the prices of some variety of single one-sided barrier option contracts within the framework of Black-Scholes m...The exponentially-distributed random timestepping algorithm with boundary test is implemented to evaluate the prices of some variety of single one-sided barrier option contracts within the framework of Black-Scholes model, giving efficient estimation of their hitting times. It is numerically shown that this algorithm, as for the Brownian bridge technique, can improve the rate of weak convergence from order one-half for the standard Monte Carlo to order 1. The exponential timestepping algorithm, however, displays better results, for a given amount of CPU time, than the Brownian bridge technique as the step size becomes larger or the volatility grows up. This is due to the features of the exponential distribution which is more strongly peaked near the origin and has a higher kurtosis compared to the normal distribution, giving more stability of the exponential timestepping algorithm at large time steps and high levels of volatility.展开更多
文摘China＇s rising global stature over the recent past lends the country to play an important role in shaping the economic growth and develop merit agenda of the world economy. This hasmanifested in China＇s own agenda in the G20 and the International Monetary Fund （IMF）, along with the global monetary and financial systems, interna tional trade and investment policies, including those policies aimed at internationalization of the Chinese currency, renminbi.
文摘The exponentially-distributed random timestepping algorithm with boundary test is implemented to evaluate the prices of some variety of single one-sided barrier option contracts within the framework of Black-Scholes model, giving efficient estimation of their hitting times. It is numerically shown that this algorithm, as for the Brownian bridge technique, can improve the rate of weak convergence from order one-half for the standard Monte Carlo to order 1. The exponential timestepping algorithm, however, displays better results, for a given amount of CPU time, than the Brownian bridge technique as the step size becomes larger or the volatility grows up. This is due to the features of the exponential distribution which is more strongly peaked near the origin and has a higher kurtosis compared to the normal distribution, giving more stability of the exponential timestepping algorithm at large time steps and high levels of volatility.
