路径相关期权定价:基于MATLAB的拟蒙特卡罗仿真方法

ERN: Simulation Methods (Topic) Pub Date : 2010-07-01 DOI:10.2139/ssrn.1659248

Jay F. K. Au Yeung

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引用次数: 2

摘要

本文针对路径相关期权，如回溯期权、障碍期权和亚洲期权，提出了一种量身定制的离散时间仿真模型。在许多学生感兴趣的实际应用背景下，我们使用拟蒙特卡罗模拟方法来说明期权定价。我们给出了一个亚洲期权定价严重依赖于标的资产路径作为一个案例研究与MATLAB代码的实现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB

This paper presents a tailor-made discrete-time simulation model for valuing path-dependent options, such as lookback option, barrier option and Asian option. In the context of a real-life application that is interest to many students, we illustrate the option pricing by using Quasi Monte Carlo simulation methods. We give an Asian option pricing which relies heavily on the underlying asset path as a case study with the implementation of MATLAB code.

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来源期刊

ERN: Simulation Methods (Topic)

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