一种新的期权定价方法:带约束的半随机核回归法

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-05-22 DOI:10.1080/00207160.2023.2217302

Le Jiang, Cheng-long Xu

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引用次数: 0

摘要

本文提出了一般随机波动率模型下期权定价的统一半随机核回归方法。该方法将初始资产值的半随机抽样与蒙特卡罗模拟相结合，构造了基于最小二乘的核函数回归解。该方法不仅可以逼近期权价格，而且可以确定期权的希腊值。最小二乘问题增加了加权导数约束，这使得期权价格和希腊人的近似误差都能灵活调整。数值结果表明，该方法在随机波动率模型下对香草期权和一些奇异期权(亚洲期权、回溯期权、离散监测障碍期权和包含多个资产的篮子期权)具有较好的有效性。

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A new options pricing method: semi-stochastic kernel regression method with constraints

This paper presents a unified semi-stochastic kernel regression method for pricing options under general stochastic volatility model. The method combines semi-stochastic sampling for initial asset values with Monte Carlo simulations to construct a least-squares based kernel function regression solution. This approach can not only approximates option prices, but also determines the Greeks of option. The least square problem is augmented with weighted derivative constraints, which enables flexible adjustment of approximate errors for both option prices and Greeks. Numerical results show the efficiency of the proposed method for the Vanilla option and some exotic options: Asian option, Lookback option, discretely monitored Barrier option and the Basket option with several assets under the stochastic volatility model.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.