常弹性方差模型下的股票抵押贷款定价-最小二乘模特卡罗实现

Stock loan valuation under the CEV model-via the least squares Monte Carlo approach

本文考虑在股票价格为常弹性方差模型上的股票抵押贷款定价问题。本文首先采用欧拉法对常弹性方差模型进行数值离散，然后在该离散模型的基础上生成股票价格变动的随机路径，最后应用最小二乘模特卡罗方法实现对常弹性方差模型下的股票抵押贷款问题进行定价。

This paper research on thestock loan valuation problem under theconstant elasticity of variance model.Theconstant elasticity of variance model canbe firstly discretized by means of the Eulermethod,then the stock price paths can begenerated by this discretized model,furtherwe can pricing the stock loan via the leastsquares Monte Carlo approach on thegrounds of the generated stock paths.Theresearched scheme will be verified bysome numerical examples at the last of thispaper.