蒙特卡洛模拟法在障碍期权定价中的应用  

Application of Monte Carlo Simulation in Barrier Option Pricing

作　　者：郑伊敏 徐锋[1] Zheng Yimin;Xu Feng(School of Science,Guilin University of Technology,Guilin 541006,China)

机构地区：[1]桂林理工大学理学院,广西桂林541006

出　　处：《科技创业月刊》2023年第4期126-128,共3页Journal of Entrepreneurship in Science & Technology

基　　金：广西自然科学基金项目(2021GXNSFBA220013);桂林理工大学科研启动基金项目(GUTQDJJ2020119)。

摘　　要：实际金融市场中,障碍期权标的资产价格运动并不服从理想的几何布朗运动,而是存在跳跃过程。为研究障碍期权的定价问题,考虑蒙特卡洛模拟法来进行障碍期权标的资产的路径模拟,同时使用资产价格的跳扩散模型为期权进行定价。由于蒙特卡洛模拟法会产生较大的误差,所以加入方差减少技术中的重要性抽样来对障碍期权重新定价,以进一步提高定价算法的精确度和运行速度。In the actual financial market,the price movement of the underlying asset of barrier option does not obey the ideal geometric Brownian motion,but there will be a jumping process.In order to study the pricing problem of barrier option,the Monte Carlo simulation method is used to simulate the path of the underlying asset of barrier option,and the jump diffusion model of asset price is used to price the option.Since the Monte Carlo simulation method will produce large errors,the importance sampling in variance reduction technique is used to re-price barrier options,so as to further improve the accuracy and speed of the pricing algorithm.

关 键 词：蒙特卡洛模拟 障碍期权 跳扩散模型 

分 类 号：F830.9[经济管理—金融学]