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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.
In this paper, we study the pricing of long-term active-power Asian options with floating strike price.Using the martingale approach, we first derive the expression of forward-acting power-exponent geometric weighted average call option price of floating execution price.Finally, using the variance reduction technique , Using this formula as a control variable to establish a floating execution price of forward-looking power Monte Carlo simulation algorithm for calculating the arithmetic average call option price of Asian suboptimal geometric options and obtain forward-looking effective Asian option with floating strike price Finally, numerical examples are used to analyze the impact of the main parameters of the model, the time-window frame and the power factor on the price of such options. The calculation results and the simulation method with control variables can effectively solve the problems of the Power- The pricing and the power factor have a significant effect on the price of the option.