[学科前沿] 20币请教一个小小的编程问题 [推广有奖]

11楼

xuruilong100 发表于 2012-6-11 15:04:49

stoneyl 发表于 2012-6-11 13:19
Sorry that I cant type Chinese here
I think the algo can be further simplified by setting
B(0) = A ...

Thank you ，infact I come up with a method similar with yours.
All of us forget an problem
What shall we do if the boundary==security price？
I think the boundary should be modified ，so that boundary！=security price

12楼

chengzhifu2013 发表于 2012-6-11 19:01:32

xuruilong100 发表于 2012-6-11 15:04
Thank you ，infact I come up with a method similar with yours.
All of us forget an problem
What ...

没看懂你的意思，可以分享一下你的想法吗？

Focus on the task at hand.

13楼

chengzhifu2013 发表于 2012-6-11 19:04:36

stoneyl 发表于 2012-6-11 13:19
Sorry that I cant type Chinese here
I think the algo can be further simplified by setting
B(0) = A ...

谢谢你，请进悬赏贴https://bbs.pinggu.org/thread-1435353-1-1.html

Focus on the task at hand.

14楼

xuruilong100 发表于 2012-6-11 22:32:34

chengzhifu2013 发表于 2012-6-11 19:01
没看懂你的意思，可以分享一下你的想法吗？

其实是我多虑了。
我在想，不出现“模拟股票价格=障碍价格”的情况，能否对模拟的效果产生正面影响？（此问题好无聊啊

）
还有，stoneyl提到的“low discepency random number generator”，在matlab中也有，在HELP里搜索“quasi random”就可以找到相关信息，当需要高维随机变量时，建议用quasi random，quasi random的“均匀性”要好些。（装一下比，我也用C++实现过quasi random，效率要比pseudo random高）

15楼

chengzhifu2013 发表于 2012-6-11 23:32:27

xuruilong100 发表于 2012-6-11 22:32
其实是我多虑了。
我在想，不出现“模拟股票价格=障碍价格”的情况，能否对模拟的效果产生正面影响？（此 ...

兄台过谦了，我看严谨好学才是阁下之风，谢谢你。另外，关于低差异随机数与faure序列相比，原理和效果有差异吗？

Focus on the task at hand.

16楼

xuruilong100 发表于 2012-6-12 12:18:51

sobol、halton、faure都是低相关序列的一种。
“A quasirandom or low discrepancy sequence, such as the Faure, Halton, Hammersley, Niederreiter or Sobol sequences, is "less random" than a pseudorandom number sequence, but more useful for such tasks as approximation of integrals in higher dimensions, and in global optimization. This is because low discrepancy sequences tend to sample space "more uniformly" than random numbers.”
http://people.sc.fsu.edu/~jburkardt/m_src/faure/faure.html