随机利率下美式期权的LSM方法定价
发布时间：2018-10-14 09:06
【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。
[Abstract]:The American option pricing under stochastic interest rate is studied by using least square Monte Carlo (LSM) method. Firstly, the market model of the underlying stock price and short-term interest rate is established and converted into a risk-neutral probability space, and then the calculation steps of the LSM method for American option under stochastic interest rate are obtained. On this basis, the effects of random interest rates on the pricing of American options are obtained by numerical simulation under certain parameters, and the effectiveness of the proposed method is verified.
【作者单位】： 长沙理工大学经济与管理学院;湖南大学工商管理学院;
【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)
【分类号】：F830.9;F224
[Abstract]:The American option pricing under stochastic interest rate is studied by using least square Monte Carlo (LSM) method. Firstly, the market model of the underlying stock price and short-term interest rate is established and converted into a risk-neutral probability space, and then the calculation steps of the LSM method for American option under stochastic interest rate are obtained. On this basis, the effects of random interest rates on the pricing of American options are obtained by numerical simulation under certain parameters, and the effectiveness of the proposed method is verified.
【作者单位】： 长沙理工大学经济与管理学院;湖南大学工商管理学院;
【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)
【分类号】：F830.9;F224
【参考文献】
相关期刊论文 前3条
1 刘大巍;陈启宏;张，
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