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基于仿真的衍生证券定价研究

The pricing research of derivatives based on monte carlo simulation
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摘要 衍生证券定价是金融工程研究的重要问题,传统的基于解析求解的定价方法面临很大的困难。本文从衍生证券的特点出发,研究了基于仿真的衍生证券定价原理、方法以及仿真在各种期权定价方面的具体应用,指出了蒙特卡罗仿真在期权定价方面存在的不足,并介绍了基于仿真的衍生证券定价技术的最新发展,希望能对今后的研究有所帮助。 The pricing of derivatives is an important question in financial engineering and the traditional pricing methods based on analytical solution are facing many difficulties. According to the characteristics of derivatives, the paper studies the principle and method of Monte Carlo simulation used to price the derivatives and especially explores its applications in the pricing of options. Meanwhile, the paper points out the shortcoming of this method and introduces its new development in the pricing of derivatives. This research work is expected to give some helps for the future research.
作者 孙晋众
机构地区 北京航空航天大学经济管理学院
出处 《沈阳航空工业学院学报》 2008年第3期71-74,共4页 Journal of Shenyang Institute of Aeronautical Engineering
基金 国家自然科学基金项目资助(70471074) 广东省科技计划项目资助(2004B36001051)
关键词 蒙特卡罗仿真 衍生证券定价 价格敏感性分析 准蒙特卡罗仿真 Monte Carlo simulation pricing of derivatives sensitive analysis of price Quasi - Monte Carlo simulation
分类号 F830.91 [经济管理—金融学]
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参考文献26

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沈阳航空工业学院学报
2008年 第3期

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