基于已实现波动的蒙特卡洛美式期权定价模型

Pricing American-Style Options Using Monte Carlo with Realized Volatility Model

美式期权定价与欧氏期权定价最大的不同是其具有后向迭代搜索特征,在最小二乘蒙特卡洛定价方法的基础上,本文基于随机波动模型对最小二乘蒙特卡洛定价方法进行了改进。并在算法中应用已实现波动模型对理论波动进行估计。数值实验表明这种改进的算法比普通最小二乘蒙特卡洛在计算工作量差别不大,并且具有更小的误差。

American options pricing has the backward feature of iterative search, which makes it much differentto European options pricing. Based on the Least - Squares Monte Carlo （LSM） cing method with realized volatility model is proposed. Numerical experiments has betterperformance than the original LSM option pricing algorithm. option pricing algorithm, a new pri- show that modified pricing algorithm