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美式期权定价与欧氏期权定价最大的不同是其具有后向迭代搜索特征,在最小二乘蒙特卡洛定价方法的基础上,本文基于随机波动模型对最小二乘蒙特卡洛定价方法进行了改进。并在算法中应用已实现波动模型对理论波动进行估计。数值实验表明这种改进的算法比普通最小二乘蒙特卡洛在计算工作量差别不大,并且具有更小的误差。
The biggest difference between American option pricing and Euclidean option pricing is that it has the characteristics of backward iterative search. Based on the least-squares Monte Carlo pricing method, this paper improves the least-squares Monte Carlo pricing method based on the stochastic volatility model . In the algorithm, the realized volatility model is applied to estimate the theoretical fluctuation. Numerical experiments show that the improved algorithm has less difference in computation workload than ordinary least squares Monte Carlo and has smaller error.