美式分红篮子期权定价的求和最小二乘蒙特卡洛法  

The SLSMCS for Solving American Basket Call Option with Dividend

作　　者：唐耀宗[1] 

机构地区：[1]喀什师范学院数学系,新疆喀什844008

出　　处：《喀什师范学院学报》2014年第6期10-12,30,共4页Journal of Kashgar Teachers College

摘　　要：主要针对美式分红篮子买权的定价进行研究.美式篮子期权定价通常采用即最小二乘蒙特卡罗模拟.但是此方法存在拟合参数随标的资产维数增加而产生的"维数灾难".故此,提出了求和最小二乘蒙特卡罗模拟,并通过数值试验较好地验证了该方法的有效性.his paper mainly focus on the pricing of the American basket call options with dividend. American basket call option can be pricing by the typical Least squares Monte Carlo simulation[2,3,4].While＂dimension curse＂occurs,which means that the dimension of underlying assets increases when the parameters of the fitting curve increase exponentially. Aiming at the limit of this method, the Sum Least squares Monte Carlo simulation, SLSMCS for short, is introduced. Finally, the method presented is tested, the results are satisfied.

关 键 词：求和最小二乘蒙特卡罗模拟 美式篮子期权 维数灾难 

分 类 号：O29[理学—应用数学]