MC方差减小技术在算术平均亚式外汇期权定价中的应用  

Application of Monte Carlo Variance Reduction Method in Pricing Arithmetic Average Foreign Exchange Asian Option

作　　者：傅毅[1,2] 张寄洲[2] 翁泽南[2] 

机构地区：[1]同济大学数学系,上海200092 [2]上海师范大学数理学院,上海200234

出　　处：《数学的实践与认识》2013年第8期15-22,共8页Mathematics in Practice and Theory

基　　金：上海市数学一流学科项目;上海市教委重点项目(13ZZ107);上海师范大学一般科研项目(SK201211)

摘　　要：建立了利率和汇率波动率均为随机情形下算术平均亚式外汇期权的定价模型.由于其定价问题求解十分困难,运用蒙特卡罗(Monte Carlo)方法并结合控制变量方差减小技术进行模拟,有效地减小了模拟方差,得到了期权定价问题的数值结果.In this paper, the mathematical model for pricing arithmetic average foreign ex- change Asian option under stochastic interest rate and stochastic volatility was established. Because the pricing problem is hard to be solved, a simulation method is established by ap- plying Monte Carlo method combined with the variance reduction techniques with controlling variables. The simulation variance is reduced effectively and the numerical results of the pricing problem are obtained.

关 键 词：PDE 亚式外汇期权 随机利率 随机波动率 蒙特卡罗方法 方差减小 

分 类 号：F224[经济管理—国民经济] F830.92