Cun chu xue jian fa zai qi quan ding jia zhong de ying yong

When pricing American-style options on d assets by Monte Carlo methods, one usually stores the simulated asset prices at all time steps on all paths in order to determine when to exercise the options. If N time steps and M paths are used; then the storage requirement is d · M · N. In this thesis, we give two simulation methods to price multi-asset American-style options, where the storage requirement only grows like (d + 1)M + N. The only additional computational cost is that we have to generate each random number twice instead of once. For machines with limited memory, we can now use larger values of M and N to improve the accuracy in pricing the options.by Wong Chi Yan.Adviser: Raymond H. Chan.Source: Dissertation Abstracts International, Volume: 70-03, Section: B, page: 1708.Thesis (Ph.D.)--Chinese University of Hong Kong, 2008.Includes bibliographical references (leaves 79-82).Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.Abstracts in English and Chinese.School code: 1307