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回望期权是一种严重路径依赖性期权,美式回望期权的价格尤其依赖于标的资产的价格路径;实际市场中其标的资产的价格过程存在跳跃现象。考虑到这两个事实,本文应用一种新方法总体最小二乘蒙特卡罗模拟为跳跃扩散模型下的美式回望期权定价。该方法改进Longstaff等提出的最小二乘蒙特卡罗方法,用来为美式回望期权定价,将其定价结果与构造二叉树图的计算结果进行比较发现,用总体最小二乘蒙特卡罗方法为美式回望期权定价是合理的,并且具有一定的优越性。
The lookback option is a serious path dependent option. The price of the American lookback option depends, in particular, on the price path of the underlying asset; the price process of the underlying asset in the actual market is leaping. Considering these two facts, this paper applies a new method, the overall least-squares Monte Carlo simulation, to price the American look-back option under the jump-diffusion model. This method improves the least-squares Monte Carlo method proposed by Longstaff et al. It is used to price the American look-back option and compare the result of its pricing with the result of constructing the binary tree graph. It is found that using the global least-squares Monte Carlo method, Looking back option pricing is reasonable, and has some advantages.