基于美式期权模拟的复合实物期权仿真定价研究  

RESEARCH ON COMPOUND REAL OPTION SIMULATION PRICING PROBLEM BASED ON AMERICAN-STYLE OPTION SIMULATION

作　　者：任培民[1] 赵树然[2] 

机构地区：[1]青岛大学经济学院,青岛266071 [2]中国海洋大学经济学院,青岛266100

出　　处：《系统科学与数学》2013年第3期285-296,共12页Journal of Systems Science and Mathematical Sciences

基　　金：教育部人文社科青年基金项目(12YJC630161);国家自科基金青年项目(71201147);山东省软科学项目(2010RKGB1144);教育部人文社会科学青年基金项目(10YJC790396);山东省自然科学基金青年项目(ZR2010GQ008)资助课题

摘　　要：复合实物期权具有包含多个标的变量、路径依赖、含可提前执行期权等特点.现有的实物期权计算方法在面临这类估值问题时,由于存在所谓的"维数灾难"问题而无法应用.文章将美式期权蒙特卡罗多项式最小二乘模拟方法运用到含可提前执行期权的复合实物期权评价中去,利用修正的复合实物期权定价公式,以平行复合实物期权为例给出了复合实物期权仿真定价算法.讨论了可提前执行与不可提前执行实物期权执行期重叠时的期权定价,以及因果复合期权定价问题,进而讨论了标的变量服从不同随机过程等更为复杂的情况.最后以一个算例演示了复合实物期权的价值计算.The compound real option has several characteristics such as path- dependent, multifactor situations and including flexible exercise real option. There are ＂dimensional curse＂ in traditional option calculation method when dealing with the compound real option evaluation problem. We calculate the compound real option by American-style option Monte Carlo least squares method. Based on the adjusted compound real option formulas, simulation algorithm for the compound real option evaluation is provided by taking example for the parallel compound real option. A special situation is discussed when the exercise period of flexible exercise option and fixed exercise option overlap. Causal compound real option evaluation is also pre- sented. Besides, other more complicated situations are considered. For example, the underlying assets follow different stochastic processes. At last, a numerical example is given to demonstrate the calculation of compound real option by using the method proposed in the paper.

关 键 词：复合实物期权 蒙特卡罗仿真 最小二乘法 执行期重叠 

分 类 号：F830.9[经济管理—金融学] O242.2[理学—计算数学]