摘要
算术亚式期权很难从数值上对其精确地定价,因此期权价格的敏感性参数估计对于算术亚式期权的套期保值就显得颇为重要.本文主要介绍2种计算敏感性参数的方法,即顺向法与似然率法,并推导了算术亚式期权的敏感性参数Δ、ρ和υ的计算公式,通过MATLAB编程模拟证明了公式的正确性,最后对两种方法进行了比较并得出一些结论.
Arithmetic Asian options are hard to price exactly and numerically,so the parameter estimation of the price sensitivities is very critical to the hedging of the options.In this paper,two methods are put forward to estimate the sensitivity parameters,namely pathwise methods and likehood ratio methods.The paper derives the formulas of the parameters Δ,ρ and υ of the arithmetic Asian options,which are demonstrated to be correct by simulatiom and compares the accuracy and efficiency of the two approaches and dr...
出处
《系统工程学报》
CSCD
北大核心
2010年第3期334-339,共6页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70471029)
关键词
算术亚式期权
敏感性参数
顺向法
似然率法
arithmetic Asian options
sensitivity parameters
pathwise methods
likehood ratio methods
