Strong consistency of the empirical martingale simulation option price estimator

A simulation technique known as empirical martingale simulation （EMS） was proposed to improve simulation accuracy. By an adjustment to the standard Monte Carlo simulation, EMS ensures that the simulated price satisfies the rational option pricing bounds and that the estimated derivative contract price is strongly consistent with payoffs that satisfy Lipschitz condition. However, for some currently used contracts such as self-quanto options and asymmetric or symmetric power options, it is open whether the above asymptotic result holds. In this paper, we prove that the strong consistency of the EMS option price estimator holds for a wider class of univariate payoffs than those restricted by Lipschitz condition. Numerical experiments demonstrate that EMS can also substantially increase simulation accuracy in the extended setting.     

直流辉光等离子体阴极鞘层电子的输运过程

采用蒙特卡罗方法对氦直流辉光放电平板电极等离子体阴极鞘层内电子的输运过程进行了研究。利用实验数据拟合得到的电子与中性粒子的碰撞截面,计算了电子的平均能量及能量分布的空间变化,同时研究了电子的其它参数分布.