可转换债券蒙特卡罗模拟定价的控制变量改进方法  

Improved control variable methods of Monte Carlo simulation for pricing convertible bonds

作　　者：马俊海[1] 杨非[1] 

机构地区：[1]浙江财经学院金融学院,杭州310018

出　　处：《系统工程理论与实践》2009年第6期77-85,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70571068)

摘　　要：主要针对可转换债券的路径依赖和美式期权特征,运用控制变量改进技术,对可转换债券定价的蒙特卡罗模拟方法进行研究分析.首先,对美式期权蒙特卡罗模拟的Rasmussen控制变量技术的基本原理和算法进行系统分析和讨论;在此基础上,提出了可转换债券价格蒙特卡罗模拟的Rasmussen控制变量技术分析框架;最后,通过一类应用比较广泛的LYON债券进行了详细的实证模拟分析.研究结论认为:蒙特卡罗模拟的Rasmussen控制变量技术对可转换债券定价的应用取得了比较理想的效果,而使用矩匹配方法则能进一步改进其应用效果.In this paper, according to the path-depedence and American-Style option characteristic of convertible bonds, we will research and anMysis Monte Carlo simulation methods for pricing convertible bonds by using improved control variable methods of Monte Carlo simulation. Firstly, the basic principle and algorithm illustration of Rasmussen control variable methods of Monte Carlo simulation for pricing American-Style options are analysised and discussed. On the basic of the above analysis, we will propose an analysis framework of Rasmussen control variable methods of Monte Carlo simulation for pricing convertible bonds. Lastly, we give a practical simulation through LYON bonds. The conclusion of this paper is that Rasmussen control variable methods of Monte Carlo simulation is an very effective methods for pricing convertible bonds and that the use of Moment Maching technique will improve greatly its effectiveness.

关 键 词：可转换债券 蒙特卡罗模拟 Rasmussen控制变量 美式期权 

分 类 号：F830.91[经济管理—金融学]