基于美式期权模拟的复合实物期权仿真定价研究

任培民,赵树然

系统科学与数学 ›› 2013, Vol. 33 ›› Issue (3) : 285-296.

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系统科学与数学 ›› 2013, Vol. 33 ›› Issue (3) : 285-296. DOI: 10.12341/jssms12061
论文

基于美式期权模拟的复合实物期权仿真定价研究

    任培民1,赵树然2
作者信息 +

RESEARCH ON COMPOUND REAL OPTION SIMULATION PRICING PROBLEM  BASED ON AMERICAN-STYLE OPTION SIMULATION

    REN Peimin1,ZHAO Shuran2
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文章历史 +

摘要

复合实物期权具有包含多个标的变量、路径依赖、含可提前执行期权等特点.现有的实物期权计算方法在面临这类估值问题时,由于存在所谓的``维数灾难"问题而无法应用.文章将美式期权蒙特卡罗多项式最小二乘模拟方法运用到含可提前执行期权的复合实物期权评价中去,利用修正的复合实物期权定价公式,以平行复合实物期权为例给出了复合实物期权仿真定价算法.讨论了可提前执行与不可提前执行实物期权执行期重叠时的期权定价,以及因果复合期权定价问题,进而讨论了标的变量服从不同随机过程等更为复杂的情况.最后以一个算例演示了复合实物期权的价值计算.

Abstract

he compound real option has several characteristics  such as path-dependent, multifactor situations and including flexible  exercise real option. There are ``dimensional curse" in traditional option calculation  method when dealing with the compound real option evaluation problem. We calculate the compound real option by American-style option Monte Carlo   least squares method. Based on the adjusted compound real option formulas,   simulation algorithm for the compound real option evaluation is provided by   taking example for the parallel compound real option. A special situation is    discussed when the exercise period of flexible exercise option and fixed exercise  option overlap. Causal compound real option evaluation is also presented. Besides, other more complicated situations are considered. For example, the underlying assets follow different stochastic processes. At last, a numerical example is given to
    demonstrate the calculation of compound real option by using the method proposed in the paper.

Key words

Compound real option, Monte Carlo simulation, least squares method,  / exercise period overlap.

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导出引用
任培民,赵树然. 基于美式期权模拟的复合实物期权仿真定价研究. 系统科学与数学, 2013, 33(3): 285-296. https://doi.org/10.12341/jssms12061
REN Peimin,ZHAO Shuran. RESEARCH ON COMPOUND REAL OPTION SIMULATION PRICING PROBLEM  BASED ON AMERICAN-STYLE OPTION SIMULATION. Journal of Systems Science and Mathematical Sciences, 2013, 33(3): 285-296 https://doi.org/10.12341/jssms12061
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