控制变量蒙特卡罗方法在随机利率下一篮子期权定价中的应用(英文)  

Application of control variate Monte Carlo method for pricing basket option under stochastic interest rates

作　　者：张寄洲[1] 傅毅[1] 翁泽南[1] 

机构地区：[1]上海师范大学数理学院,上海200234

出　　处：《应用数学与计算数学学报》2013年第3期372-381,共10页Communication on Applied Mathematics and Computation

基　　金：Project supported by the National Natural Science Foundation of China(11071184);the National Natural Science Foundation of Shanxi Province of China(2012011015-6)

摘　　要：在随机利率服从Vasicek模型的假设下,结合方差减小技术,运用多元均值控制变量蒙特卡罗方法对一篮子算术平均期权进行模拟分析,有效地减小了模拟误差,得到了该期权定价问题的数值结果.A simulation analysis is considered for the pricing of basket arith- metic average option by applying the multi-mean value control variate Monte Carlo method combined with the variance reduction techniques under the assumption of the Vasicek stochastic interest rate model. The simulation error is effectively re- duced, and the numerical results of the pricing problem are obtained.

关 键 词：控制变量 一篮子期权 随机利率 蒙特卡罗方法 

分 类 号：O242.2[理学—计算数学]