| 跳跃扩散模型下美式回望期权定价方法 |
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| 引用本文： | 张利花,许文坤,张卫国.跳跃扩散模型下美式回望期权定价方法[J].系统工程,2010(9). |
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| 作者姓名： | 张利花 许文坤 张卫国 |
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| 作者单位： | 华南理工大学工商管理学院; |
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| 基金项目： | 教育部新世纪优秀人才支持计划项目(NECT06-0749),教育部人文社会科学研究规划基金资助项目(07JA630048); 国家自然科学基金资助项目(70801027) |
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| 摘 要： | 回望期权是一种严重路径依赖性期权,美式回望期权的价格尤其依赖于标的资产的价格路径;实际市场中其标的资产的价格过程存在跳跃现象。考虑到这两个事实,本文应用一种新方法总体最小二乘蒙特卡罗模拟为跳跃扩散模型下的美式回望期权定价。该方法改进Longstaff等提出的最小二乘蒙特卡罗方法,用来为美式回望期权定价,将其定价结果与构造二叉树图的计算结果进行比较发现,用总体最小二乘蒙特卡罗方法为美式回望期权定价是合理的,并且具有一定的优越性。
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| 关 键 词： | 回望期权 最小二乘蒙特卡罗模拟 跳跃扩散 路径依赖 二叉树图 |
Pricing American Lookback Options in Models with Jumps |
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| ZHANG Li-hua,XU Wen-kun,ZHANG Wei-guo.Pricing American Lookback Options in Models with Jumps[J].Systems Engineering,2010(9). |
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| Authors: | ZHANG Li-hua XU Wen-kun ZHANG Wei-guo |
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| Institution: | ZHANG Li-hua,XU Wen-kun,ZHANG Wei-guo(School of Business Administration,South China University of Technology,Guangzhou 510641,China) |
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| Abstract: | Lookback options are exotic path-dependent options,the price of American lookback options heavily depends on the assets' price path.In the real financial market,there are brusque variations in the assets' pricing process.Considering the two facts,this paper applies a new method to price American lookback options in the models with jumps.We improve the least-square Monte Carlo method proposed by Longstaff,et al.,and apply the enhanced method to price American lookback option,then compare the pricing result w... |
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| Keywords: | Lookback Option Simple Least-squares Monte Carlo Jump-Diffusion Path-Dependent Binomial Tree |
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