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排序方式: 共有595条查询结果,搜索用时 15 毫秒
41.
对延迟战略建立两阶段决策模型,分半成品有无残值两种情况,从实物期权的视角运用金融学中期权定价理论对延迟战略的期权价值进行分析。将生产商传统生产方式下的收益类比为购买标的证券的收益,采用延迟战略的收益类比为标的于该证券的期权收益,并假设产品价格随机游走。通过分析发现延迟战略的收益相当于奇异期权的回报,并且半成品没有残值是存在残值的特殊情况。进一步运用蒙特卡罗模拟方法定量地对延迟战略的期权价值进行参数分析和成本一收益分析。文章将动态的风险管理和对灵活性价值的度量引入决策过程,研究结论能给延迟战略投资决策提供借鉴。 相似文献
42.
Adjoint methods have recently gained considerable importance in the finance sector, because they allow to quickly compute
option sensitivities with respect to a large number of model parameters. In this paper we investigate how the efficiency of
adjoint methods can be exploited to speed up the Monte Carlo-based calibration of financial market models. After analyzing
the calibration problem both theoretically and numerically, we derive the associated adjoint equation and propose its application
in combination with a multi-layer method, for which we prove convergence to a stationary point of the underlying optimization
problem. Detailed numerical examples illustrate the performance of the method. In particular, the proposed algorithm reduces
the calibration time for a typical equity market model with time-dependent model parameters from over three hours to less
than ten minutes on a usual desktop PC.
相似文献
43.
N. A. Sheehan 《Revue internationale de statistique》2000,68(1):83-110
Markov chain Monte Carlo methods are frequently used in the analyses of genetic data on pedigrees for the estimation of probabilities and likelihoods which cannot be calculated by existing exact methods. In the case of discrete data, the underlying Markov chain may be reducible and care must be taken to ensure that reliable estimates are obtained. Potential reducibility thus has implications for the analysis of the mixed inheritance model, for example, where genetic variation is assumed to be due to one single locus of large effect and many loci each with a small effect. Similarly, reducibility arises in the detection of quantitative trait loci from incomplete discrete marker data. This paper aims to describe the estimation problem in terms of simple discrete genetic models and the single-site Gibbs sampler. Reducibility of the Gibbs sampler is discussed and some current methods for circumventing the problem outlined. 相似文献
44.
Our purpose is to investigate the ability of different parametric forms to ‘correctly’ estimate consumer demands based on distance functions using Monte Carlo methods. Our approach combines economic theory, econometrics and quadratic approximation. We begin by deriving parameterizations for transformed quadratic functions which are linear in parameters and characterized by either homogeneity or which satisfy the translation property. Homogeneity is typical of Shephard distance functions and expenditure functions, whereas translation is characteristic of benefit/shortage or directional distance functions. The functional forms which satisfy these conditions and include both first- and second-order terms are the translog and quadratic forms, respectively. We then derive a primal characterization which is homogeneous and parameterized as translog and a dual model which satisfies the translation property and is specified as quadratic. We assess functional form performance by focusing on empirical violations of the regularity conditions. Our analysis corroborates results from earlier Monte Carlo studies on the production side suggesting that the quadratic form more closely approximates the ‘true’ technology or in our context consumer preferences than the translog. 相似文献
45.
The pricing of American-style options by simulation-based methods is an important but difficult task primarily due to the feature of early exercise, particularly for high-dimensional derivatives. In this paper, a bundling method based on quasi-Monte Carlo sequences is proposed to price high-dimensional American-style options. The proposed method substantially extends Tilley's bundling algorithm to higher-dimensional situations. By using low-discrepancy points, this approach partitions the state space and forms bundles. A dynamic programming algorithm is then applied to the bundles to estimate the continuation value of an American-style option. A convergence proof of the algorithm is provided. A variety of examples with up to 15 dimensions are investigated numerically and the algorithm is able to produce computationally efficient results with good accuracy. 相似文献
46.
In Foreign Exchange Markets vanilla and barrier options are traded frequently. The market standard is a cutoff time of 10:00 a.m.
in New York for the strike of vanillas and a knock-out event based on a continuously observed barrier in the inter bank market.
However, many clients, particularly from Italy, prefer the cutoff and knock-out event to be based on the fixing published
by the European Central Bank on the Reuters Page ECB37. These barrier options are called discretely monitored barrier options.
While these options can be priced in several models by various techniques, the ECB source of the fixing causes two problems.
First of all, it is not tradable, and secondly it is published with a delay of about 10–20 min. We examine here the effect
of these problems on the hedge of those options and consequently suggest a cost based on the additional uncertainty encountered.
相似文献
47.
房地产开发企业违约概率压力测试研究——现金流蒙特卡洛模拟方法在银行中的应用 总被引:1,自引:0,他引:1
本文采用蒙特卡洛模拟方法,根据现金净额是否为负这一标准来判断房地产开发企业是否违约,在对企业的现金流进行随机模拟的基础上来计算企业的违约概率。压力测试的场景为房价下降,利率上升。压力传导途径为房价与利率变动导致企业销售收入变动,销售收入的改变导致企业的现金流量表发生变化。房价和利率对销售收入的冲击是随机的,企业的现金流也是随机的,本文通过随机模拟估算了企业的现金流为负的频率,以此作为企业违约的概率。压力测试表明,当房价下降幅度到达15%附近时,房地产开发商的违约概率开始急剧上升。 相似文献
48.
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 总被引:1,自引:0,他引:1
Jean-Daniel Saphores Lynda Khalaf & Denis Pelletier 《American journal of agricultural economics》2002,84(2):387-400
Continuous-time models of natural resource prices usually preclude the possibility of large changes (jumps) resulting from unexpected events. To test for the presence of jumps and/or ARCH effects, we combine bounds and the Monte Carlo test technique to obtain finite-sample, level-exact p -values. We apply this methodology to stumpage prices from the Pacific Northwest and find evidence of jumps and ARCH effects. To assess the impact of neglecting jumps on the decision to harvest old-growth timber, we develop an autonomous, infinite-horizon stopping model for which we provide a new method of resolution. Our numerical results show the importance of modeling jumps explicitly. 相似文献
49.
基于CA模型的城市边缘区土地利用演变模拟——以广州市花都区为例 总被引:6,自引:0,他引:6
研究目的:探索土地利用的多地类CA模拟方法,并掌握城市边缘区土地利用变化规律。研究方法:选取典型城市边缘区 —— 广州市花都区为研究区域,利用C#语言结合ArcEngine GIS平台编程进行花都区土地利用演变CA模拟研究。以不同时间研究区土地利用图为基础数据,比较研究期内各地类的变化数量与方向以确定地类转换之间的优先级,并确定各地类的转换概率阈值。然后利用蒙特卡罗方法结合控制因素进行判断,最终确定元胞的转化状态。研究结果:模拟结果表明,2000 — 2005年间,新增建设用地分布在除北部山区以外的所有区域,但主要集中在城市中心区域,农用地主要分布在西南部和东北部,而且破碎化程度越来越高。在流向上,仍然有不少数量的农用地(主要为耕地和林地)转向建设用地。与实际情况相比,模拟的数量精度为84.8%,位置精度为71.3%。研究结论:研究结果表明此方法便于理解与操作,同时模拟精度较高。 相似文献
50.
文章基于一类跳跃随机波动的阈值模型风险值估计贝叶斯分析,在给定先验分布下,以马尔科夫链蒙特卡洛方法估计模型中的未知参数,并给出了MCMC模拟算法,进而讨论了风险值的预测。根据模拟结果,我们得知,如果没有考虑金融时间序列的外生冲击导致的跳跃行为,将会高估风险值,因此考虑跳跃行为后,将增加风险值估计的精度。 相似文献