商品和金融摇摆期权定价模型及其数值研究  

Commodity and Financial Swing Option Pricing Model and Numerical Analysis

作　　者：宋斌[1] 张云鹏[1] 

机构地区：[1]中央财经大学管理科学与工程学院,北京100081

出　　处：《数学的实践与认识》2015年第23期147-160,共14页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11301560);教育部人文社会科学研究规划基金(14YJA790048)

摘　　要：采用具有均值回复特点的三叉树模型研究上摇一下摇特征或带有惩罚条款的复杂商品摇摆期权,并运用森林树法进行数值计算.进而分析最大可执行次数、每次执行最大可执行量、惩罚系数对摇摆期权价格的影响.此外还运用多次最优停时研究连续时间框架下的金融摇摆期权定价问题.为了避免高维诅咒,选择改进的最小二乘蒙特卡罗方法完成数值计算,并分析标的资产价格及最大可执行次数对期权价格的影响.数值分析结果表明,当实施次数为一次时,摇摆期权价格与相应的美式期权价格重合,从而在一定程度上验证了模型的正确性.This paper adopts the trinomial tree model with mean reversion property to explore the complicated swing option with a penalty function clause or call-put portfolio characteristics. We use the forest trees method to obtain numerical results and analyze the maximum exercise rights, every executable maximum volume, penalty coefficient effect on swing option price. About the financial swing option pricing problem, multiple optimal stopping time framework is introduced for continuous-time model. The underlying asset price and the maximum exercise rights effects on swing option price are also obtained, numerical results also show that the swing option with one exercise right has the same price with corresponding American option price, which prove our model is correct.

关 键 词：摇摆期权 森林树 多次最优停时 惩罚函数 最小二乘蒙特卡罗 

分 类 号：F830.9[经济管理—金融学] F224