摘要
运用最小二乘蒙特卡罗(LSM)方法对随机利率下的美式期权定价进行研究。首先建立了标的股票价格与短期利率的市场模型,并将其转换到风险中性概率空间中,然后得到了随机利率下美式期权的LSM方法的计算步骤。在此基础上,进行了确定参数下的数值模拟,得到了随机利率对美式期权定价的影响,并验证了该方法的有效性。
This paper uses the least-squares Monte Carlo (LSM) method to price the American option under the stochastic interest rate. Firstly, the stock price process and the short interest rate process are modelled, and they are converted to the models in the risk neutral probability space. Then, the calculation steps of LSM method to American option pricing under the stochastic interest rate are obtained. Furthermore, the numerical simulation is made with the determinate parameters which demonstrate the effect of the stochastic interest rate on American option pricing and the validity of the LSM method.
出处
《系统工程》
CSSCI
CSCD
北大核心
2013年第10期10-14,共5页
Systems Engineering
基金
国家自然科学基金资助项目(71201013
71171024)
国家杰出青年科学基金资助项目(70825006)
中国国家自然科学创新研究群体项目(71221001)
教育部人文社会科学研究青年基金资助项目(12YJC630118)
湖南省哲学社会科学基金资助项目(11YBA009)
关键词
随机利率
美式期权
最小二乘蒙特卡罗方法
American Option
Stochastic Interest Rate
Least-Squares Monte Carlo Method