亚式期权定价的模拟方法研究

On the Asian Option Pricing with Monte Carlo Simulation

由于算术平均价格亚式期权的定价没有解析公式,所以文章用MonteCarlo模拟方法通过Matlab软件编写程序对亚式期权进行了定价。发现在某些情况下,亚式期权的价值并不是国内外一些研究者所认为的低于相应的欧式期权的价值。

Since arithmetic average price asian option don＇t have the closed-form pricing formulation,in this paper we try to price arithmetic average price asian option with Monte Carlo Simulation.And we find in some circumstances the valuation of asian put option is expensive than its plain vanilla counterpart.