期货期权及其衍生品配套课件（全34）Ch19.pptVIP

* * * * * * * * * * * * * * * * * * * Standard Errors in Monte Carlo Simulation The standard error of the estimate of the option price is the standard deviation of the discounted payoffs given by the simulation trials divided by the square root of the number of observations. Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Application of Monte Carlo Simulation Monte Carlo simulation can deal with path dependent options, options dependent on several underlying state variables, and options with complex payoffs It cannot easily deal with American-style options Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Determining Greek Letters For D: 1. Make a small change to asset price 2. Carry out the simulation again using the same random number streams 3. Estimate D as the change in the option price divided by the change in the asset price Proceed in a similar manner for other Greek letters Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Variance Reduction Techniques Antithetic variable technique Control variate technique Importance sampling Stratified sampling Moment matching Using quasi-random sequences Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Sampling Through the Tree Instead of sampling from the stochastic process we can sample paths randomly through a binomial or trinomial tree to value a derivative Options, Futures, and Other Derivatives, 7th International Edition, Copyright ? John C. Hull 2008 * Finite Difference Methods Finite difference methods aim to represent the differential equation in the form of a difference equation We form a grid by considering equally spaced time values and stock price values Define ?i,j as the value of ? at time iDt when the stock price is jDS Options, Futures, and Other Derivatives, 7th International Editi