| CEV模型和B-P混合驱动模型下亚式期权Monte Carlo模拟 |
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| 引用本文： | 王爱银,于文明.CEV模型和B-P混合驱动模型下亚式期权Monte Carlo模拟[J].数学的实践与认识,2021(2):20-27. |
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| 作者姓名： | 王爱银 于文明 |
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| 作者单位： | 新疆财经大学统计与数据科学学院 |
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| 基金项目： | 国家社会科学基金一般项目“基于CEV模型的中国居民金融资产投资-储蓄-增长策略研究”(18BJL072)。 |
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| 摘 要： | 对亚式期权在CEV模型和B-P混合驱动模型限制下进行Monte Carlo模拟定价,建立风险中性测度,模拟出不同弹性因子值下资产价格路径.为了得出优于标准的Monte Carlo模拟,应用方差缩减技术来提高期权定价的精度.最后对亚式期权定价模型进行数值案例分析,得出弹性因子取值、时间步长、模拟次数与期权价值变化的关系.
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| 关 键 词： | CEV模型 B-P混合驱动模型 Monte Carlo模拟 方差缩减技术 弹性因子 |
Sub-option Monte Carlo Simulation of CEV Model and B-P Hybrid Drive Model |
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| WANG Ai-yin,YU Wen-ming.Sub-option Monte Carlo Simulation of CEV Model and B-P Hybrid Drive Model[J].Mathematics in Practice and Theory,2021(2):20-27. |
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| Authors: | WANG Ai-yin YU Wen-ming |
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| Institution: | (School of Statistics and Data Science,Xinjiang University of Finance and Economics,Urumqi 830000,China) |
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| Abstract: | In this paper,the Monte Carlo simulation pricing of Asian options under the constraints of CEV model and B-P hybrid driving model is established,and the risk neutrality measure is established to simulate the asset price path under different elastic factor values.In order to derive a Monte Carlo simulation that is superior to the standard,the variance reduction technique is applied to improve the accuracy of the option pricing.Finally,a numerical case analysis of the Asian option pricing model is carried out,and the relationship between the value of the elastic factor,the time step,the number of simulations and the change of the option value is obtained. |
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| Keywords: | CEV model B-P hybrid drive model monte carlo simulation variance reduction technique elastic factor |
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