蒙特卡洛算法的欧式期权定价问题研究大学_毕设论文.doc

毕业论文 基于蒙特卡洛 算法的欧式期权定价问题研究 STUDY ON THE PRICING OF THE EUROPEAN OPTIONS BASED ON MONTE CARLO ALGORITHM  摘 要 近年来，随着全球经济飞速的发展，金融市场在社会经济领域中的地位也在不断的上涨。与金融市场相适应的一些金融衍生品也孕育而出，而对于它们的分析研究也就显得尤为重要，其中期权更是在金融市场中占有一席之地的。众所周知，期权又被称为选择权，是在期货的基础上产生的一种衍生性金融工具。其中欧式期权则是最具代表性的期权，不管是在理论价值还是在经济意义上，都是非常值得研究的。 本文以欧式期权为研究对象，基于蒙特卡洛算法并利用Matlab软件编写相关程序。本文针对基于蒙特卡洛算法下的欧式期权定价问题进行研究，在研究上共分为五章。第一章为绪论部分，重点阐述了文章的研究背景、研究意义以及国内外研究现状。第二章是预备知识，主要介绍了文章所用到的基础理论知识，例如蒙特卡洛算法、欧式期权、Black-Scholes模型的概念。第三章建立模型，利用蒙特卡洛算法生成欧式期权定价公式，进而得到基于蒙特卡洛算法下的欧式期权价格。第四章为蒙特卡洛算法改进方法，主要是阐述了改进后的拟蒙特卡洛模拟算法，结合了Halton偏低差序列后，使得期权价格更接近欧式看涨期权价格的真实值。第五章为结论，是对本文的研究结果进行总结。 关键词：蒙特卡洛算法； 欧式期权定价； 方差缩减技术 ABSTRACT In recent years, with the rapid development of global economy, socio-economic status of the financial market is constantly rising. Financial derivatives that are associated with the financial markets also bred out. So it is particularly important to analyze them especially for options. It is well known that the options are also known as choices, which are derivative financial instruments. It is very worthy of studying European option both in theoretical value and in an economic sense which is the most representative of these options. This paper is concerned on European option based on Monte Carlo algorithm, and prepares the relevant procedures by using Matlab software. The organizations of our study are as follows. The first chapter focuses on the articles background, significance and research status at home and abroad. The second chapter is on pre knowledge, introduces the articles used by the foundation of theoretical knowledge, such as Monte Carlo algorithm, European options and Black-Scholes model’s concept. The third chapter is on modeling, using Monte Carlo algorithm to generate European option pricing formula, which received European option pricing based on Monte Carlo algorithm. The fourth chapter is on Monte Carlo algorithm, mainly on the improved algorithm of quasi-Monte Carlo simulation, combined with low-discrepancy seque