基于蒙特卡罗综合加速方法的一篮子期权定价

Basket Options Pricing Based on Monte Carlo Comprehensive Acceleration Method

摘要: 本文建立了服从双指数跳扩散的多标的资产价格的随机微分方程模型，其中多标的资产具有相关性，并通过蒙特卡罗加速模拟方法研究基于双指数跳扩散模型的一篮子欧式看涨期权定价问题。在蒙特卡罗加速模拟中，本文综合应用控制变量法和对偶变量技术缩减方差，并分析了影响模拟效果的关键因素。

Abstract: This paper gives a model of stochastic differential equation for multi-asset options prices, which is subject to double-exponential jump-diffusion process, at the same time, the multi-standard assets are relevant. Then the Monte Carlo accelerated simulation method is used to study the pricing of European basket of call options. In the accelerated Monte Carlo simulation, this paper comprehensively applies the controlled variable method and the dual variable technique to reduce the variance, and analyzes the key factors that affect the simulation effect.