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重要性抽样在期权定价中的应用 被引量：1

Application of Importance Sampling Technique in Pricing Options
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摘要 在期权定价的蒙特卡罗模拟中,重要性抽样是一种有效的方差减小技术。从理论上分析了重要性抽样技术在几种期权定价中的具体应用,通过实例说明了这种测度转化的运用以及最优漂移率水平的确定;给出了模拟的具体算法;用对比分析的方法实证模拟和检验了用最优漂移率水平进行重要性抽样能最大限度地减小估计方差。 Importance sampling technique is an effective variance reduction technique in Monte Carlo simulation method for pricing options.It attempts to reduce variance by changing the probability measure from which paths are generated.This paper analyzes theoretically the application of importance sampling technique in pricing several kinds of options,and illustrates the method through examples.Meantime,it gives the algorithms which drive the Monte Carlo simulation to estimate the price of option.At last,some practi...
作者 王金安
机构地区 集美大学财经学院
出处 《集美大学学报（哲学社会科学版）》 2007年第4期35-39,共5页 Journal of Jimei University：Philosophy and Social Sciences
关键词 期权定价 蒙特卡罗模拟 算法 重要性抽样 pricing option Monte Carlo simulation algorithm importance sampling
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献5

  • 1[1]PAUL GLASSERMAN.Monte Carlo methods in financial engineering[M].Berlin:Springer,2003:255-275.
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二级参考文献12

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共引文献16

同被引文献43

  • 1AW Marshall. The use of multi-stage sampling schemes in Monte Carlo computations[C]// Symposium on Monte Carlo Methods. New York: Wiley, 1956:123-140.
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  • 10Karl Gerlach. New results in importance sampling[J]. IEEE Trans. Aerospace and Electronic Systems, 1999,35(3):917-925.

引证文献1

二级引证文献4

集美大学学报（哲学社会科学版）
2007年 第4期

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