随机波动模型下算术亚式期权的Monte Carlo模拟定价  

Monte Carlo Simulation Pricing for Algorithm Average Asian Option under the Stochastic Volatility Model

作　　者：许聪聪[1,2] 许作良[1] 

机构地区：[1]中国人民大学信息学院,北京100872 [2]石家庄铁路职业技术学院,河北石家庄050041

出　　处：《数学的实践与认识》2015年第21期114-121,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11171349)

摘　　要：在随机波动模型下,研究亚式期权的定价问题.推导出了标的资产及其随机波动模型的路径,利用对偶变量法对亚式期权进行数值模拟计算,并对随机波动模型下与B-S模型下的欧式期权和亚式期权定价结果进行比较,最后给出了具有固定敲定价格和浮动敲定价格的算术亚式期权的数值计算结果.In this paper, A Monte Carlo algorithm for estimating the price of Asian option under the stochastic volatility model is given. First, the formulas of the underlying assets paths and stochastic volatility paths are derived. Then, in order to reduce the simulation variance, the antithetic variable technique Monte Carlo simulation method is used to calculate the numerical solution of Asian option prices, and we compared the numerical results of Asian option under stochastic volatility model and B-S model. Finally, some numerical results of the fixed strike and the floating strike arithmetic Asian option under stochastic volatility are given.

关 键 词：随机波动模型 亚式期权 MONTE CARLO模拟 期权定价 

分 类 号：F830.9[经济管理—金融学] F224