Efficient Simulations of Option Pricing and Greeks Under Three-Factor Model by Conditional Monte Carlo Method  

作　　者：Shanshan CHEN Chenglong XU Zhaokui SHI 

机构地区：[1]School of Economics,Anhui University,Hefei 230601,China [2]School of Mathematics,Shanghai University of Finance and Economics,Shanghai 200433,China [3]School of Mathematical Sciences,Tongji University,Shanghai 200092,China

出　　处：《Journal of Systems Science and Information》2023年第3期314-331,共18页系统科学与信息学报（英文）

摘　　要：This paper proposes a hybrid Monte Carlo simulation method for pricing European options under the stochastic volatility model and three-factor model.First,the European options are expressed as a conditional expectation formula,which can be used not only for reducing variance of simulations,but also for calculating the value of Greeks easily,due to the elimination of the weak singularity for the payoff of the option.Then,in order to reduce variance further,the authors also construct a new explicit regression based control variate under Heston model and three-factor model respectively.Numerical results of experiments show that the proposed method can greatly reduce the variance of simulation for pricing European option,and is easy to complement for the calculation of Greeks.

关 键 词：conditional Monte Carlo control variate stochastic volatility stochastic interest rate option pricing 

分 类 号：O213[理学—概率论与数理统计] F830.9[理学—数学]