期权定价的蒙特卡罗模拟综合性方差减少技术

Comprehensive variance reduction techniques of Monte Carlo simulation methods for pricing options

主要将重要性抽样技术处理特殊衍生证券定价问题的能力与控制变量技术、分层抽样技术简单灵活、易于应用的特点有机地结合起来,把分层抽样技术和控制变量技术引入重要性抽样模拟估计的分析框架,提出更为有效的关于期权定价蒙特卡罗模拟的综合性方差减少技术;并以基于算术型亚式期权定价为例,进行了实证模拟分析.

In this paper, combining the stronger ability to deal with some special financial derivative securities given by importance sampling technique and the characters of simple and flexible of mulit-control variable technique and optimum stratified sampling technique, we will put forward some more effective comprehensive variance reduction techniques on Monte Carlo simulation method for pricing financial derivative securities by introducing control variable technique and optimum stratified sampling technique into the analysis framework of importance sampling technique. At last, we make some practical analysis by using an arithmetic Asian option.