基于元胞自动机的期权定价模型

An Option Pricing Model Based on Cellular Automaton

针对期权定价难于模拟基础资产价格波动随机性的问题,设计了基于元胞自动机的期权定价模型.该模型将市场参与者看作一个个的元胞,使用元胞规则来模拟金融市场中交易者之间的交互行为,从而在总体上模拟出基础资产价格的变化.比较了模型产出的数据和Black-Scholes模型的计算结果,检验了模型产出数据的正态性,发现基于元胞自动机的期权定价模型不仅具有可行性,而且比Black-Scholes模型更有效.

Option pricing is one of the most difficult problems in financial research. The key to the problem is how to simulate the randomness of the underlying asset price. This paper designs and implements an option pricing model based on the cellular automaton, which treats market participants as the cells in the cellular automaton. The model uses cellular automaton rules to simulate the interactions between traders and the changes of underlying asset prices. The paper compares the output data of the model with the calculation results of the Black-Scholes model, tests the normality of the model＇s output data, and finds that the option pricing model based on the cellular automaton is not only feasible, but also more effective than the Black-Scholes model.