亚式期权定价的控制变量法拟蒙特卡罗模拟

Pricing Asian Options by Control Variable Technology Quasi-Monte Carlo Simulation

用Matlab编程进行数值计算与分析,结果表明多元控制变量法有效地提高了拟蒙特卡罗模拟算术平均亚式期权定价的精确度,并且在维数较高情况下拟蒙特卡罗方法更具优越性,在一定条件下多元控制变量的模拟效果要好于几何平均亚式期权控制变量法模拟的效果。

Finally programming calculation and analysis by Matlab, the results show that this multi-control variable method is effective and improving the accuracy on Quasi-Monte Carlo simulation arithmetic average Asian Option pricing. And in a higher dimension ,the Quasi-Monte Carlo simulation seems to have more advantages than general Monte Carlo simulation method. Under certain conditions, the simulate result of this multi - control variable Technology in this paper is better than geometric average Asian Option as a control variable method.