亚式期权的蒙特卡洛定价分析

Monte Carlo Pricing Analysis on Asian Options

在风险资产价格服从跳扩散过程模型的假设下,利用蒙特卡洛方法给出了两种亚式期权的近似价格。首先根据风险资产所满足的跳扩散方程,利用Matlab编程给出了基础资产价格的价格变化路经。最后基于蒙特卡洛原理给出了亚式期权和欧式期权的近似价格,并进行了对比分析。

With the assumption that the risky asset price satisfies jump-diffusion processes models, this paper, by using Monte Caro method, gives the approximate prices of two kinds of Asian options. First, based on Matlab program, we work out the changing path of basic asset prices. Then we put forward and compare the approximate prices of arithmetic Asian options, Geometric Asian options and European options.