GARCH模型中美式亚式期权价值的蒙特卡罗模拟算法

MONTE CARLO SIMULATION METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTION IN THE GARCH OPTION PRICING MODEL

我们运用 Longstaff和 Schwartz最近提出的用蒙特卡罗模拟法计算美式期权的方法在 GARCH模型中求解美式亚式期权 ,我们的结果表明和其它数值方法相比 ,这个方法不仅有相当的精确度 ,而且使用简便并具有更广泛的适用性 ,对于 GARCH模型中运用格点法难以求解的浮动执行价格的美式亚式期权同样可以得到稳定解 .

We use the Monte Carlo simulation method of Longstaff and Schwartz to price American-style Asian options in the framework of GARCH option pricing model.Our results demonstrate that this method not only has comparable accuracy as other methods,but also can be implemented more easily with wider applicability.In particular,this method can be used to obtain stable solutions for floating-strike American-style Asian options for which it is difficult to apply lattice method in the GARCH option pricing model.