A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in discrete time. Our approach is to recursively compute the so-called continuation values. They are defined as regression functions of the cash flow, which would occur over a series of subsequent time periods, if the approximated optimal exercise strategy is applied. We use nonparametric least squares regression estimates to approximate the continuation values from a set of sample paths which we simulate from the underlying stochastic process. The parameters of the regression estimates and the regression problems are chosen in a data-dependent manner. We present results concerning the consistency and rate of convergence of the new algorithm. Finally, we illustrate its performance by pricing high-dimensional Bermudan basket options with strangle-spread payoff based on the average of the underlying assets.Comment: Published in at http://dx.doi.org/10.1214/105051607000000249 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Tehnološki park Radmilovac – demonstracija energetske efikasnosti, obnovljivih izvora energije i metoda/modela integralnog planiranja trajnog razvoja

This paper presents a Sustainability Vision of the Technology Park - Radmilovac development, describing the significance of a scientific research centre in agricultural sector for the Serbian economical development as the agriculture and food industry are the two of the most prospective strategic activities of Serbian society. It demonstrates importance of implementation of the energy efficiency, renewable energy sources and integrated sustainable development planning methodologies and models or “Green Buildings and Environmental Technologies Approach” in further Technology Park Radmilovac planning and design development. In addition elucidated are the Technology Park Radmilovac’s possible numerous roles, programmes - projects, R&D&D&E (Research & Development & Demonstration & Education) activities, as well as its unique/exclusive features as a Park-Site for national and international events promoting a series of certain and reliable technologies for sustainable local, regional and global development.U radu je data Vizija Održivosti razvoja Tehnološkog parka - Radmilovac opisom značaja naučno istraživačkog centra u sektoru poljoprivrede za ekonomski razvoj Srbije, jer su poljoprivreda i prehrambena industrija dve od najizglednijih strateških aktivnosti Srbije. Istaknut je značaj primene energetske efikasnosti, obnovljivih izvora energije i metoda i modela integralnog planiranja trajnog razvoja, odnosno primene prilaza “Zelenih zgrada i ekoloških tehnologija” u daljem planiranju i razvoju projekta Tehnološkog Parka Radmilovac. Pored toga, osvetljene su moguće brojne uloge, programi – projekti, I&R&D&O (Istraživačko & Razvojno & Demonstracione & Obrazovne) aktivnosti, kao i izuzetne i jedinstvene osobine Tehnološkog Parka kao mesta za nacionalne i međunarodne događaje za promociju niza novorazvijenih, pouzdanih tehnologija za trajan lokalni, regionalni i globalni razvoj

Konvektivno sušenje parčića ploda batata (Ipomoea batatas (L.) Lam), zavisnost od predtretmana

The dried of pieces of sweet potatoes (Ipomoea batatas (L.) Lam) was carried in experimental convective cabinet drier with loess. This vegetable was rich in beta carotene and was not sufficiently in our countries. The dried process was carried at 55oC, and weight changes were measured every 15 minutes. Were performed three pretreatments: dried with pretreatment, blanched with the 1% vitamin C and 5% NaCl and without pretreatment. Blanched was carried in water at 60oC, for 3 minutes. The moisture content of raw sweet potato was 76.40%, but in dried material value from 16.90 to 19.59%, respectively. Rehydration values were measure of the quality of the dried process. The best results were obtained to dried small pieces of sweet potato without pretreatment, than rehydration was 83.37%.Sušenje parčića ploda batata (Ipomoea batatas (L.) Lam) ili slatkog krompira vršeno je u eksperimentalnoj konvektivnoj sušari sa lesama. Ova povrtarska biljka bogata je beta karotenom, a nedovoljno se koristi u našoj zemlji. Proces sušenja odvijao se na 55oC, a merena je promena mase na svakih 15 minuta. Rađena su tri predtretmana blanširanjem: bez dodataka (predtretman I), sa dodatkom 1% vitamina C (predtretman II), sa dodatkom 5% NaCl (predtretman III) i sušenje bez predtretmana (kontrola). Blanširanje je vršeno u destilovanoj vodi temperature 60oC za 3 minuta, sa i bez dodataka. Sadržaj vlage u sirovom plodu batatu bio je 76,40%, a u osušenom materijalu kretao se od 16,90 do 19,59 %. Stepen rehidratacije korišćen je kao mera kvaliteta procesa sušenja. Najbolji rezultati dobijeni su kod sušenja parčića ploda batata bez predtretmana, čiji je stepen rehidratacije bio 83,37%