欧式敲入期权的蒙特卡洛定价法改进――蒙特卡洛重要抽样法

作为界限期权之一的欧式敲入期权,用普通的蒙特卡洛模拟法定价并不能有效地减小样本估计方差,影响了估计的精确度,而最新发展起来的蒙特卡洛重要抽样法克服了这一难题。介绍了蒙特卡洛重要抽样法及其基本思想,并开创性地将该方法应用到欧式敲入期权的定价过程,将结果与普通蒙特卡洛模拟结果对比,有效验证了该方法在界限期权定价中的优越性。

Monte-Carlo Importance Sampling Simulation method for pricing the European Knock-in option

It is inefficient to apply the common Monte-Carlo simulation method to price an European knock-in barrier option for variance reduction,fortunately the Monte-Carlo importance sampling method which has been developed during the recent decades conquers this obstacle.A brief introduction and basic idea is give to the importance sampling in Monte-Carlo methods.By implementing importance sampling method to price the knock-in option and comparing the results with that of common Monte-Carlo simulation,the signific...