算术平均半亚式期权定价的快速算法

算术平均半亚式期权是一种推广的亚式期权,无解析定价公式.因此在实际中大多采用蒙特卡洛法等模拟算法进行定价,尽管定价精度较高,但定价的计算时间长.本文结合改进蒙特卡洛法和矩近似解析法,得到算术平均半亚式期权定价的近似半解析法,在确保精度的前提下,大幅减少计算时间.最后,本文利用对偶变量技术改进近似半解析法,进一步减少计算时间.

A fast pricing algorithm for the arithmetic half-Asian option

The arithmetic Half-Asian option is a generalized Asian option with no analytic pricing formula. In practice, simulation algorithms such as Monte Carlo method is mostly used in option pricing. Although the pricing accuracy is high, the calculation time for pricing is long. A fast algorithm for pricing the arithmetic Half-Asian option named the semi-analytic method is obtained by combining the improved Monte Carlo method and moment approximation method, which greatly reduces the computation time for pricing under the premise of ensuring accuracy. Then, the semi-analytic method is improved by using antithetic variable technique to further reduce the computation time for pricing.