| 金融衍生证券定价中蒙特卡罗模拟技术的改进 |
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| 引用本文： | 马俊海,张维,刘凤琴,熊熊. 金融衍生证券定价中蒙特卡罗模拟技术的改进[J]. 天津大学学报(自然科学与工程技术版), 2000, 33(4): 479-482 |
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| 作者姓名： | 马俊海 张维 刘凤琴 熊熊 |
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| 作者单位： | 天津大学管理学院,天津 |
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| 摘 要： | 蒙特卡罗模拟作为金融衍生证券价格估计的一种基本的数值分析方法，近些年来得到了不断应用和发展，但由于自身存在的不足，使其估计效率受到一定的影响，为了提高模拟的有效性，扩大其应用范围，人们提出了许多改进技术，本文着重对基本方差减少技术、伪蒙特卡罗模拟以及随机化伪蒙特卡罗模拟等主要的效率改进技术进行了分析和评述，并为进一步改进蒙特卡罗模拟效率指出了方向。
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| 关 键 词： | 衍生证券 蒙特卡罗模拟 定价 金融市场 |
| 文章编号： | 0493-2137(2000)04-0479-04 |
| 修稿时间： | 1999-09-02 |
REVIEW ON IMPROVEMENT TECHNIQUES OF MONTE CARLOSIMULATION AND THEIR DEVELOPMENT IN DERIVATIVESECURITIES PRICING |
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| MA Jun-hai,ZHANG Wei,LIU Feng-qin,XIONG Xiong. REVIEW ON IMPROVEMENT TECHNIQUES OF MONTE CARLOSIMULATION AND THEIR DEVELOPMENT IN DERIVATIVESECURITIES PRICING[J]. Journal of Tianjin University(Science and Technology), 2000, 33(4): 479-482 |
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| Authors: | MA Jun-hai ZHANG Wei LIU Feng-qin XIONG Xiong |
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| Affiliation: | MA Jun-hai,ZHANG Wei,LIU Feng-qin,XIONG Xiong;(School Management of Tianjin University,Tianjin 300072,China) |
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| Abstract: | In recent years as an important numerical analysis method for financial derivative securities pricing,Monte Carlo Simulation gets wide application and development.However,the simulation efficiency of quite a few derivative securities has been influenced because of its drawback.Researchers have put forward many efficiency improvement methods.This paper emphasizes analyzing some of the main efficiency improvement techniques like basic variance reduction techniques,quasi random Monte Carlo Simulation,and stochastic quasi Monte Carlo Simulation,and points the development direction for further improving the effectiveness of simulation. |
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| Keywords: | efficiency improvement techniques derivative securities monte carlo simulation scrambled net |
| 本文献已被 CNKI 维普 等数据库收录！ |
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