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El-Yaniv等学者首次运用在线算法及其竞争分析方法研究了单方向在线外汇兑换问题,提出了基于汇率突然下跌威胁的在线兑换策略.结合期权工具改进了该兑换策略对汇率上、下界的估计,即不估计汇率波动的下界,仅估计上界.利用看跌期权以第一期汇率价格为敲定价格锁定后续汇率波动的最低交易底价,同时利用首期汇率信息对汇率上界进行估计,从而这样预估的上界较El-Yaniv等学者模型中估计的上界更准确.当汇率上界确定后,分别给出了兑换期限已知和未知两种情形下的最优在线兑换策略,并与El-Yaniv等学者给出的兑换策略进行了对比分析.最后,通过算例分析说明了当El-Yaniv等学者模型中的下界和上界参数相差很大时或末期汇率出现大幅下跌时,本文所提出的结合期权工具的在线交易策略的竞争性能更具有优越性.
For the first time, El-Yaniv and other scholars used the online algorithm and its competitive analysis method to study the one-way online exchange problem and proposed an online exchange strategy based on the sudden drop of the exchange rate. The option strategy was used to improve the estimation of the exchange rate upper and lower bounds , That is, without estimating the lower bound of the exchange rate fluctuation, only the upper bound is estimated. Using the put option, the first exchange rate is the lowest trading lockdown price for the subsequent exchange rate fluctuations, and the first phase exchange rate information is used to estimate the upper bound of the exchange rate The upper bound of the estimate is more accurate than the upper bound estimated in the model of El-Yaniv et al. After the upper bound of the exchange rate is determined, optimal online exchange strategies are given for both the known and the unknown redemption deadlines, respectively, El-Yaniv and other scholars give a comparative analysis of the exchange strategy.Finally, a case study shows that when El-Yaniv and other scholars in the lower and upper bounds of the parameters of a very large difference or when the final exchange rate fell sharply, The competitive performance of the proposed online trading strategy in combination with the option tool is even more advantageous.