Asian options are one of the most popular exotic options in OTC markets, but there is no closedform solution for its price yet.
亚洲期权是场外交易中几种最受欢迎的新型期权之一,但它的价格却没有解析表达式,到目前为止,亚洲期权的定价仍是个公开问题。
Asian options are such popular exotic options that the valuation,especially the valuation of arithmetic Asian options which are traded in the OTC markets,is a problem of not only theoretical research but also practical applications.
提出了一个新的用来估计亚洲期权价格的多元控制变量估计 ,由数值结果可知 ,当离到期时间很长或标的资产收益的波动率很大的时候它对其他控制变量估计有显著的改进。
Asian options are well known examples of path dependent options whose payoffs depend on historical value of the underlying asset over a given time period as well as its current price.
亚洲期权是路径依赖期权的一个突出的例子 。
With the boundary conditions,we derive the analytic formula of the rainbow geometric average Asian call option and call-put parity relationship on rainbow geometric average Asian options.
基于Black-Scholes模型的假设条件,利用多维ITO引理和无套利原理,构建了基于两个资产支付红利的虹式亚洲期权多因素路径依赖型期权定价模型,并结合边界条件,导出虹式几何平均亚洲看涨期权的解析定价公式以及虹式几何平均亚洲期权看涨-看跌平价关系式,以此为控制变量模拟计算虹式算术平均亚洲期权,数值实验表明虹式几何平均控制变量法有效地提高了蒙特卡罗模拟虹式算术平均亚洲期权定价的精确度。
With the help of the above analytic fomulae as the control variate,we further simulate the rainbow arithmetic average Asian options.
基于Black-Scholes模型的假设条件,利用多维ITO引理和无套利原理,构建了基于两个资产支付红利的虹式亚洲期权多因素路径依赖型期权定价模型,并结合边界条件,导出虹式几何平均亚洲看涨期权的解析定价公式以及虹式几何平均亚洲期权看涨-看跌平价关系式,以此为控制变量模拟计算虹式算术平均亚洲期权,数值实验表明虹式几何平均控制变量法有效地提高了蒙特卡罗模拟虹式算术平均亚洲期权定价的精确度。