基于蒙特卡洛算法的状态依赖期权定价问题研究本科生毕业论文.doc

毕业论文 基于蒙特卡洛算法的状态依赖期权 定价问题研究 THE investigation of pricing State-dependent option based on Monte Carlo algorithm 指导教师姓名： 申请学位级别： 学 士 论文提交日期： Black-Scholes模型、CEV模型、Vasicek模型下给出对应回望期权的蒙特卡洛算法，并用matlab软件得到相对应期权的数值模拟，并且在Black-Scholes模型下还进行了理想模拟次数的探讨，在保证时间间隔一定的情况下，得出10000次模拟可以看作是理想的模拟次数。 本文在相应的模型下给出回望期权定价的蒙特卡洛算法，不仅丰富了回望期权定价的研究成果，而且能够在一定程度上对实践具有指导意义。本文最后指出了今后研究需要进一步改进和探讨的方面。 关键词：； ABSTRACT Nowadays, the world economy is changing rapidly and economic risks are being everywhere. Many people choose hedging with futures, options and other financial derivatives which have become indispensable tools for the development of economy. Some investors are always using state-dependent options to avoid risks because of its own characteristics. We need to adopt reasonable mathematical models and methods to price options. In this paper, we price the state-dependent options based on Monte Carlo algorithm and choose lookback options as the subject of research. In many categories of the lookback options, we study the pricing of European lookback options with the stock as the underlying asset. Because the option models are more and more complex, in many cases, we cannot get the analytic solution of the options. However, Monte-Carlo method can obtain the numerical solutions of the option pricing with its own advantages. The paper firstly introduces the concepts of options and state-dependent options, Wiener process and Monte Carlo methods, and Monte Carlo algorithm are applied to price options. We respectively give the Monte Carlo algorithm on lookback options under the Black-Scholes model, CEV model, Vasicek model, and also implement algorithm by matlab, and finally run the numerical results. Under the Black-Scholes model, we discuss the idea about the ideal simulation times. In the case that the time interval is constant, 10000 can be viewed as the ideal number of simulations. This paper gives and implements the Monte Carlo algorithm for pricing lookback