| 基于分形高斯噪声叠加的蒙特卡罗模拟定价 |
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| 引用本文： | 刘岭. 基于分形高斯噪声叠加的蒙特卡罗模拟定价[J]. 北京理工大学学报, 2011, 31(5): 627-630 |
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| 作者姓名： | 刘岭 |
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| 作者单位： | 北京理工大学,管理与经济学院,北京,100081 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 为了提高蒙特卡罗模拟定价的精度和效率,用循环嵌入方法快速精确地生成分形高斯噪声,进而叠加合成分形布朗运动,在此基础上运用蒙特卡罗方法模拟金融产品价格运动轨迹.通过对国电电力认购权证(国电CWB1)进行100个交易日模拟定价的结果表明,该方法比标准布朗运动能获得更高的定价精度.
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| 关 键 词： | 分形布朗运动 分形高斯噪声 蒙特卡罗模拟 定价 |
| 收稿时间： | 2009-10-21 |
Monte Carlo Simulation Pricing Based on Summation of Fractional Gaussian Noise |
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| LIU Ling. Monte Carlo Simulation Pricing Based on Summation of Fractional Gaussian Noise[J]. Journal of Beijing Institute of Technology(Natural Science Edition), 2011, 31(5): 627-630 |
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| Authors: | LIU Ling |
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| Affiliation: | LIU Ling(School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China) |
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| Abstract: | The circulant embedding method(CEM) is introduced to fast generate fractional Gaussian noise signals exactly.Fractional Brownian motion can be synthesized through summation of fractional Gaussian noise.Hence it can be applied to the pricing of financial derivatives via Monte Carlo simulation.Empirical result of pricing a warrant(Guodian CWB1) in the Chinese stock market for 100 trading days shows that the described method outperforms more accuracy than that based on standard Brownian motion. |
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| Keywords: | fractional Brownian motion fractional Gaussian noise Monte Carlo simulation pricing |
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