The development of the option price theory provides business enterprise a beneficial tool to carry through property risk management, but a variety of option price theories are established on certain environments, and ...The development of the option price theory provides business enterprise a beneficial tool to carry through property risk management, but a variety of option price theories are established on certain environments, and they can not deal with crisis in uncertain environments precisely and quickly, especially when multi-factors change at the same time. Thus, price the option in uncertain environment has been becoming an important direction of research. In this paper, wc take the stock option for example~ using Quasi-Monte Carlo method to price the American-style option, and then provide an example to explain. The powerful assistant decision-making ability of the computer simulation is clearly expressed when we study and analyze the Quasi-Monte Carlo method＇s characteristics.展开更多
To validate the ability of full configuration interaction quantum Monte Carlo （FCIQMC） for studying the 2D Hubbard model near half-filling regime, the ground state energies of a 4×44×4 square lattice syste...To validate the ability of full configuration interaction quantum Monte Carlo （FCIQMC） for studying the 2D Hubbard model near half-filling regime, the ground state energies of a 4×44×4 square lattice system with various interaction strengths are calculated. It is found that the calculated results are in good agreement with those obtained by exact diagonalization （i.e., the exact values for a given basis set） when the population of psi particles （psips） is higher than the critical population required to correctly sample the ground state wave function. In addition, the variations of the average computational time per 20 Monte Carlo cycles with the coupling strength and the number of processors are also analyzed. The calculated results show that the computational efficiency of an FCIQMC calculation is mainly affected by the total population of psips and the communication between processors. These results can provide useful references for understanding the FCIQMC algorithm, studying the ground state properties of the 2D Hubbard model for the larger system size by the FCIQMC method and using a computational budget as effectively as possible.展开更多
文摘The development of the option price theory provides business enterprise a beneficial tool to carry through property risk management, but a variety of option price theories are established on certain environments, and they can not deal with crisis in uncertain environments precisely and quickly, especially when multi-factors change at the same time. Thus, price the option in uncertain environment has been becoming an important direction of research. In this paper, wc take the stock option for example~ using Quasi-Monte Carlo method to price the American-style option, and then provide an example to explain. The powerful assistant decision-making ability of the computer simulation is clearly expressed when we study and analyze the Quasi-Monte Carlo method＇s characteristics.
基金Supported by the Natural Science Foundation for Colleges and Universities of Jiangsu Province under Grant No 16KJB140008the National Natural Science Foundation of China under Grant Nos 11447204 and 11647164+1 种基金the Natural Science Foundation of Jiangsu Province under Grant No BK20151079the Scientific Research Foundation of Nanjing Xiaozhuang University under Grant No 2015NXY34
文摘To validate the ability of full configuration interaction quantum Monte Carlo （FCIQMC） for studying the 2D Hubbard model near half-filling regime, the ground state energies of a 4×44×4 square lattice system with various interaction strengths are calculated. It is found that the calculated results are in good agreement with those obtained by exact diagonalization （i.e., the exact values for a given basis set） when the population of psi particles （psips） is higher than the critical population required to correctly sample the ground state wave function. In addition, the variations of the average computational time per 20 Monte Carlo cycles with the coupling strength and the number of processors are also analyzed. The calculated results show that the computational efficiency of an FCIQMC calculation is mainly affected by the total population of psips and the communication between processors. These results can provide useful references for understanding the FCIQMC algorithm, studying the ground state properties of the 2D Hubbard model for the larger system size by the FCIQMC method and using a computational budget as effectively as possible.
