离散障碍期权定价的蒙特卡罗模拟

利用蒙特卡罗模拟方法对离散障碍期权进行定价，并结合对偶抽样、条件期望、重要性抽样3种方差缩减技术降低模拟方差。设计数值实验针对离散障碍期权进行定价分析，比较了各种模拟方法的方差缩减效率。结果表明利用对偶抽样、条件期望、重要性抽样3种方差缩减技术的蒙特卡罗模拟方法能够对离散障碍期权进行稳定的定价。

On pricing discrete barrier options using the Monte Carlo method

The Monte Carlo method has been applied in pricing discrete barrier options and a variety of variance reduction techniques have been used. The dual sampling method, conditional expectation method and importance sampling method have been combined in order to price the discrete barrier options. Furthermore, a numerical example is given to analyze the variance reduction efficiency of the different kinds of variance reduction techniques. The result shows that the method combining dual sampling, conditional expectation and importance sampling gives a robust price for discrete barrier options.