基于内存减少蒙特卡罗法的多标的资产美式期权定价外文文献翻译、中英文翻译.docVIP

PAGE PAGE 18 文献翻译一：原文 Pricing multi-asset American-style options by memory reduction Monte Carlo methods Raymond H. Chan, Chi-Yan Wong, Kit-Ming Yeung. Pricing multi-asset American-style options by memory reduction Monte Carlo methods [J]. Applied Mathematics and Computation 179(2006):535-544. Abstract: When pricing American-style options on assets by Monte Carlo methods, one usually stores the simulated asset prices at all time steps on all paths in order to determine when to exercise the options. If time steps and paths are used, then the storage requirement is. In this paper, we give a simulation method to price multi-asset American-style options, where the storage requirement only grows like. The only additional computational cost is that we have to generate each random number twice instead of once. For machines with limited memory, we can now use larger values of and to improve the accuracy in pricing the options. Keywords: Memory reduction method; Monte Carlo method; Multi-asset; American-style options; Random number 1. Introduction Monte Carlo method is one of the main methods for computing American-style options, see for instance [12, 2, 3, 9]. These algorithms are computationally inefficient because they require the storage of all asset prices at all simulation times for all simulated paths. Thus the total storage requirement grows like where is the number of underlying assets, is the number of simulated paths and is the number of time steps. The accuracy of the simulation is hence severely limited by the storage requirement. The apparent difficulties in using Monte Carlo methods to price American-style options come from the backward nature of the early exercise feature. There is no way of knowing whether early exercise is optimal when a particular asset price is reached at a given time. One can look at this problem from another point of view. In Monte Carlo method, the simulated paths are all generated in the time-increasing direction, i.