Sorry that I cant type Chinese here
I think the algo can be further simplified by setting
B(0) = A(1) + A(2) + A(3) +...+A(30)
B(i) = B(i-1) + A(i+30) - A(i) For all i>=1
The knock out condition will simply be the smallest i when B(i)>=20
Plus you can use low discepency random number generator to make it faster. If you are using C++, Boost will be a good choice
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
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
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