MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE-EXERCISE OPTIONS

We discuss Monte Carlo methods for valuing options with multiple-exercise features in discrete time. By extending the recently developed duality ideas for American option pricing, we show how to obtain estimates on the prices of such options using Monte Carlo techniques. We prove convergence of our approach and estimate the error. The methods are applied to options in the energy and interest rate derivative markets.     

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO

We present a generic non-nested Monte Carlo procedure for computing true upper bounds for Bermudan products, given an approximation of the Snell envelope. The pleonastic true stresses that, by construction, the estimator is biased above the Snell envelope. The key idea is a regression estimator for the Doob martingale part of the approximative Snell envelope, which preserves the martingale property. The so constructed martingale can be employed for computing tight dual upper bounds without nested simulation. In general, this martingale can also be used as a control variate for simulation of conditional expectations. In this context, we develop a variance reduced version of the nested primal-dual estimator. Numerical experiments indicate the efficiency of the proposed algorithms.     

ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS

This paper studies the relative error in the crude Monte Carlo pricing of some familiar European path-dependent multiasset options. For the crude Monte Carlo method it is well known that the convergence rate   O ( n ^−1/2)  , where n is the number of simulations, is independent of the dimension of the integral. This paper also shows that for a large class of pricing problems in the multiasset Black-Scholes market the constant in   O ( n ^−1/2)  is independent of the dimension. To be more specific, the constant is only dependent on the highest volatility among the underlying assets, time to maturity, and degree of confidence interval.     

FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY‐OFFS

We introduce a new class of numerical schemes for discretizing processes driven by Brownian motions. These allow the rapid computation of sensitivities of discontinuous integrals using pathwise methods even when the underlying densities postdiscretization are singular. The two new methods presented in this paper allow Greeks for financial products with trigger features to be computed in the LIBOR market model with similar speed to that obtained by using the adjoint method for continuous pay‐offs. The methods are generic with the main constraint being that the discontinuities at each step must be determined by a one‐dimensional function: the proxy constraint. They are also generic with the sole interaction between the integrand and the scheme being the specification of this constraint.     

助学贷款的另一种选择:热由社保基金来发放贷款

助学贷款难已经引起了社会的广泛关注,本文讨论了制约助学贷款发放的基本原因,指出深层次的矛盾在于国家助学贷款的政策性实质和作为商业贷款发放的制度性错位。以此为出发点,认为实现与社保基金的结合才是助学贷款的最好出路。社保基金的制度特点也决定了由其发放助学贷款具有得天独厚的优势,并有着切实的可操作性和可行性。     

助学贷款的另一种选择:由社保基金来发放贷款

助学贷款难已经引起了社会的广泛关注,本文讨论了制约助学贷款发放的基本原因,指出深层次的矛盾在于国家助学贷款的政策性实质和作为商业贷款发放的制度性错位.以此为出发点,认为实现与社保基金的结合才是助学贷款的最好出路.社保基金的制度特点也决定了由其发放助学贷款具有得天独厚的优势,并有着切实的可操作性和可行性.     

农产品出口策略研究——以青岛农产品出口为研究样本

农业是关系国计民生的基础产业,也是工业和服务业良性发展的坚实基础,尤其是在我国经济发展到现阶段,"三农"问题已经成为关系到我国经济社会能否实现可持续发展的关键因素.