带跳市场中随机利率下的美式—亚式期权定价

American-style Asian option pricing with jumps under stochastic interest rate

在假设期权标的资产价格服从跳跃-扩散模型、利率遵循短期随机利率模型的基础上,运用总体最小二乘拟蒙特卡罗方法为美式-亚式期权定价,并将得到的定价结果和不带跳市场中美式-亚式期权的价格进行比较,数值结果表明,运用总体最小二乘拟蒙特卡罗方法得到的期权价格更好地反映了实际期权价格,并且该方法用于美式-亚式期权定价是合理的,时效性强,收敛速度快.

Based on the assumptions that the underlying asset price of option follows the jump-diffusion model and that interest rate follows the stochastic interest rate model,this paper uses the total least squares quasi Monte-Carlo method（TLSM） for American-style Asian option pricing.Comparing the obtained pricing result with the values derived by assuming no jumps,the results show that the model this paper established can reflect the actual option value perfectly,and the proposed method is reasonable,timeliness,and fast convergence.