The pricing accuracy of the canonical least-squares Monte Carlo (CLM) method can be improved significantly by incorporating innovatively a variance constraint in the derivation of the canonical risk-neutral distribution. This new approach is called the variance-constrained CLM (vCLM) in the...

The least-squares Monte Carlo method of Longstaff-Schwartz is utilized to construct the optimal exercise boundary (OXB) of an American put option when the underlying follows a geometric Brownian motion (GBM). The optimal exercise price at each time step is obtained by solving numerically the...

Options pricing and hedging under canonical valuation have recently been demonstrated to be quite effective, but unfortunately are only applicable to European options. In this paper, a variation of canonical valuation called canonical least-squares Monte Carlo is proposed to price American...

Static replication of nonlinear payoffs by line segments (or equivalently vanilla options) is an important hedging method, which unfortunately is only an approximation. If the strike prices of options are adjustable (for OTC options), two optimal approximations can be defined for replication by...

Options pricing and hedging under canonical valuation have recently been demonstrated to be quite effective, but unfortunately are only applicable to European options. This study proposes an approach called canonical least‐squares Monte Carlo (CLM) to price American options. CLM proceeds in...

With software projects are becoming increasingly complicated, soft skills such as collaboration, effective communication, rhetoric, socio-cultural, accountabilities and collision resolution in real-life software projects, as well as computer programming are badly required for team members to...

This study takes Lin'an City which early carries out the experiment of ecological operation of hickory as the study site. On the basis of the input-output data on hickory and farmers' land, we analyze the input-output status of hickory land which practises ecological operation, the operators'...

ORC (organic Rankine cycles) are promising systems for conversion of low temperature geothermal energy to electricity. The thermodynamic performance of the ORC with a wet cooling system is analyzed here using hydrocarbon working fluids driven by geothermal water from 100 °C to 150 °C and...