具有浮动执行价的远期生效幂亚式期权定价（英文）

发布时间：2018-07-12 19:47

本文选题：远期生效幂亚式期权 + 蒙特卡罗模拟　；参考：《应用数学》2017年04期

【摘要】：本文研究具有浮动执行价的远期生效幂亚式期权的定价问题.利用鞅方法,首先推导出浮动执行价的远期生效幂亚式几何平均看涨期权价格的显示公式.随后,利用方差减少技术,以此幂亚式几何看涨期权价格公式作为控制变量建立浮动执行价的远期生效幂亚式算术平均看涨期权价格计算的蒙特卡罗模拟算法,获得浮动执行价的远期生效幂亚式期权的定价结果.最后,应用数值实例,分析模型主要参数,时间窗框和幂因子等因素异动时对该类期权价格的影响.计算结果,带控制变量的模拟方法能有效地解决幂亚式期权的定价,以及幂因子对期权价格的影响有显著性作用.
[Abstract]:In this paper, we study the pricing of forward effective power Asian options with floating execution price. By means of martingale method, we first derive the expression of the price of the geometric average call option of the power subformula of the forward effective power of the floating executive price. Then, by using variance reduction technique, using the power sub-geometric call option price formula as the control variable, a Monte-Carlo simulation algorithm for calculating the price of the floating executive price of the power-Asian arithmetic average call option is established. Obtain the pricing results of the forward effective power Asian option with floating execution price. Finally, a numerical example is used to analyze the influence of the main parameters of the model, time window frame and power factor on the price of this kind of option. The results show that the simulation method with control variables can effectively solve the pricing of power Asian option and the influence of power factor on option price is significant.
【作者单位】：广西财经学院信息与统计学院;广西师范大学数学与统计学院;
【基金】：Supported by the Natural Sciences Foundation of China(11461008) the Open Project Program of the Center on Economic Prediction and Decision-making of Guangxi(2015YBKT16) Scientific Research Development Fund of Young Researchers of Guangxi University of Finance and Economics(2017QNB07)
【分类号】：F224;F830.9

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