基于方差减小技术的亚式外汇篮子期权定价的模拟算法.PDF

西北大学学报( 自然科学网络版) 20 16 年5 月，第14 卷，第3 期 Science Journal of Northwest University Online May 20 16，Vol.14，No.3 基于方差减小技术的亚式外汇篮子 期权定价的模拟算法 魏含羽，许永峰，刘祎龙 （西北大学数学学院，陕西 西安，710127 ） 摘 要：本文应用方差减小技术给出了一种亚式外汇篮子期权定价的蒙特卡罗(MC)模拟算法。具体来 说本文是在风险中性测度下将亚式外汇期权与篮子期权这两种新型期权相结合，以其为研究对象，利 用MC 模拟算法为服从双随机模型的上述期权进行定价，与此同时采用控制-对偶变量这种新型方差减 小技术来提高模拟的效率及精度。而后又选取标准差和VaR 这两个指标从离散程度及尾部特征这两个 方面共同对其改进效果进行了更为准确地度量。最终通过模拟实验与对比分析，得出了控制-对偶变量 这种方差减小技术下的MC 模拟算法对亚式外汇篮子期权的定价相对更加精确的结论。 关 键 词：亚式外汇期权；篮子期权；方差减小技术 中图分类号：O211.9 文献标识码：A 文章编号：1000-274X(2016)0594-10 The pricing simulation algorithm of Asian foreign exchange basket options based on the variance reduction techniques WEI Han-yu, XU Yong-feng, LIU Yi-long (School of Mathematics，Northwest University，Xi’an 710127，China) Abstract: Monte Carlo (MC) pricing simulation algorithm is presented based on variance reduction technique in Asian foreign exchange basket options. Specifically, it combines Asian foreign exchange option and basket option together as the research project. Under the risk neutral measures, obeying the double stochastic model, and considering Monte Carlo method of numerical simulation can be applied to the above option pricing. Meanwhile, the new variance reduction technique, controlling-dual variable can improve the efficiency and accuracy of simulation. Additionally, the standard deviation and VaR are selected to measure the degree of dispersion and tail characteristics which are more precise than before. Based on the controlled-dual variable this variance reduction technique, the simulation experiment and comparative analysis show that the MC pricing simulation algorithm of Asian foreign exchange basket options