蒙特卡罗法在篮子期权定价中的应用

Monte Carlo Simulation Method for Pricing Basket Option

篮子期权是多标的资产的一个投资组合期权,随着投资者对其投资组合分散化日益增长的要求,人们对这种投资组合期权的需求也不断增加。当维数不断增大时,运用蒙特卡罗模拟法来定价相对来说更可行,但是随着维数的增多,模拟的效率将大幅度下降,因此对模拟进行适当的改进是十分必要的。在篮子期权定价的蒙特卡罗模拟模型基础上,应用方差减少技术中的控制变量法进行改进,并以欧式看涨篮子期权为例,进行模拟分析。

Basket option is a multi-underlying asset of an investment portfolio of options.As investors′ demand for diversified portfolios is growing,their demand for such investment portfolio of options is increasing.When the dimensions increase,the use of Monte Carlo simulation method to price is relatively more feasible.But as the dimensions increase,the efficiency of simulation will be greatly decreased,so it is necessary to improve the simulation.Based on Monte Carlo simulation method for pricing basket option,we improve the effect by the variance reduction techniques with controlling variables method and conduct a simulation analysis of a European basket call option.