Matlab与Visual C++混合编程在美式期权定价中的应用

Application of American Option Pricing with Matlab and Visual C++Mixed Programming

基于Matlab与Visual C++的应用特点,提出了一种利用Matlab与Visual C++混合编程方法研究美式期权定价的方案,即以Matlab 2016b的转C工具Matlab Coder为基础,将基于最小二乘蒙特卡洛的美式看跌期权定价函数在Matlab中实现,而后转成的C代码直接移植到Visual C++开发环境中的设计方案.在此基础上,通过实例介绍了转C流程、方法以及限制等重要问题,并验证了方案的可行性.研究结果表明:采用该方案不仅能有效提高软件编程效率,减轻编程工作量,而且可加快算法从研究到实际应用的进程.

According to the characteristics of Matlab and Visual C++,a method mixed with Matlab and Visual C++is presented to price American options.Specifically,based on the tool named“Matlab Coder”in Matlab 2016b,firstly American put options by LSM(least-squares Monte Carlo method)are priced by Matlab software,and then the transformed C codes are directly applied to Visual C++developing environment.Also,an example is illustrated to perform basic steps,the limitation and the feasibility of this transformation method.Results demonstrate that this transformation method increases the programming efficiency,reduces the programming workload and speeds up the process from research to practical application.