不同基函数对LSM美式期权定价的影响  

Effect of different basis functions on the LSM pricing of American option

作　　者：于拓 唐亚勇[1] YU Tuo;TANG Ya-Yong(School of Mathematics,Sichuan University,Chengdu 610064,China)

机构地区：[1]四川大学数学学院,成都610064

出　　处：《四川大学学报（自然科学版）》2021年第3期17-21,共5页Journal of Sichuan University(Natural Science Edition)

摘　　要：美式期权允许期权持有人在期权到期前的任何时间行权,因而我们无法使用B-S公式为美式期权定价而多采用数值分析分方法对其进行定价.应用最小二乘蒙特卡洛法(LSM)对美式期权进行定价的方法首先由Longstaff和Schwartz于2001年提出.在该方法中,在进行最小二乘回归时,不同基函数的选取会对最终定价结果产生重要影响.本文研究了使用不同正交多项式作为基函数对美式期权定价的影响.American option allows an option holder to exercise at any time before the expiration of option.Thus it is impossible to price it by the B-S formula.Numerical methods are usually applied to price an American option.The Least Square Monte Carlo Method(LSM)was firstly proposed by Longstaff and Schwartz in 2001,in which different basis functions in the least squares regression can significantly affect the final pricing.In this study we discuss the effect of different basis functions on the American option pricing.

关 键 词：美式期权 LSM 正交多项式 基函数 

分 类 号：O29[理学—应用数学]