摘要
在最小二乘蒙特卡洛(LSM)方法基础上,提出用加权最小二乘与蒙特卡洛(MC)方法相结合,得到加权最小二乘蒙特卡洛(WLSM)方法,研究了障碍期权模拟定价的问题.假设标的资产价格过程遵循几何布朗运动,分析了是否支付红利和生成期权价格路径的问题.使用随机化Faure序列替换LSM方法中伪随机数,给出了WLSM方法在美式障碍期权定价的算法步骤.使用R语言对美式障碍上升敲出看跌期权(up-and-out put)在支付红利的情形下进行数值模拟,结果表明此方法与其他定价模型方法相比,定价更准确,说明该方法具有可行性和有效性.
In this paper,the weighted least squares Monte Carlo(WLSM)method was developed based on the least squares Monte Carlo(LSM)method by combining the weighted least squares and Monte Carlo(MC)method.The problem of barrier option simulation pricing was studied.The problem of whether to pay dividend and generate option price path was analyzed by assuming that the underlying asset price process followed geometric Brownian motion.The pseudo random number in LSM method was replaced by a randomized Faure sequence,and the algorithm steps of(WLSM)method in American barrier option pricing were given.R language was used to carry out numerical simulation of American up-and-out put option under the condition of dividend payment.The results showed that this method was more accurate than other pricing models.It demonstrated that the method was feasible and effective.
作者
陈敦勇
郭洁
孙玉东
CHEN Dunyong;GUO Jie;SUN Yudong(School of Data Science and Information Engineering,Guizhou Minzu University,Guiyang 550025,China;School of Business,Guizhou Minzu University,Guiyang 550025,China)
出处
《哈尔滨商业大学学报（自然科学版）》
CAS
2023年第5期596-603,共8页
Journal of Harbin University of Commerce：Natural Sciences Edition
基金
贵州省科学技术基金([2015]2076).
