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In this paper, we will present our research on the acceleration for option pricing using Monte Carlo techniques on the GPU. We first introduce some basic ideas of GPU programming and then the stochastic volatility SABR model. Under the SABR model, we discuss option pricing with Monte Carlo techniques. In particular, we focus on European option pricing using(More)
Discounted cash flow analysis, including net present value is an established way to value land use and management investments which accounts for the time-value of money. However, it provides a static view and assumes passive commitment to an investment strategy when real world land use and management investment decisions are characterised by uncertainty,(More)
In this paper, we present our study on a hybrid stochastic volatility model incorporating local volatility for pricing options in the foreign exchange (FX) market. The hybrid stochastic-local volatility model (SLV) could match the implied volatility surface well and meanwhile shows the flexibility for pricing exotic options. The difficulty in implementing(More)
In this paper, we present our research on pricing window barrier options under a hybrid stochastic-local volatility (SLV) model in the foreign exchange (FX) market. Due to the hybrid effect of the local volatility and stochastic volatility components of the model, the SLV model can reproduce the market implied volatility surface, and can improve the pricing(More)
Sustainable development decisions are seen by the Oriental WSR approach as participation processes conditioned and shaped by a dynamic web of wuli (relation with the world), shili (relation with the mind) and renli (relation with others). On the one hand, lis are interwoven with each other; the study of one cannot be isolated from that of the other. On the(More)
This paper introduces a simulation-based numerical method for solving dynamic portfolio optimization problem. We describe a recursive numerical approach that is based on the Least Squares Monte Carlo method to calculate the conditional value functions of investors for a sequence of discrete decision dates. The method is data driven rather than restricted to(More)
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