【摘要】：運(yùn)用最小二乘蒙特卡羅(LSM)方法對(duì)隨機(jī)利率下的美式期權(quán)定價(jià)進(jìn)行研究。首先建立了標(biāo)的股票價(jià)格與短期利率的市場(chǎng)模型,并將其轉(zhuǎn)換到風(fēng)險(xiǎn)中性概率空間中,然后得到了隨機(jī)利率下美式期權(quán)的LSM方法的計(jì)算步驟。在此基礎(chǔ)上,進(jìn)行了確定參數(shù)下的數(shù)值模擬,得到了隨機(jī)利率對(duì)美式期權(quán)定價(jià)的影響,并驗(yàn)證了該方法的有效性。
[Abstract]:The American option pricing under stochastic interest rate is studied by using least square Monte Carlo (LSM) method. Firstly, the market model of the underlying stock price and short-term interest rate is established and converted into a risk-neutral probability space, and then the calculation steps of the LSM method for American option under stochastic interest rate are obtained. On this basis, the effects of random interest rates on the pricing of American options are obtained by numerical simulation under certain parameters, and the effectiveness of the proposed method is verified.
【作者單位】： 長(zhǎng)沙理工大學(xué)經(jīng)濟(jì)與管理學(xué)院;湖南大學(xué)工商管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(71201013;71171024) 國(guó)家杰出青年科學(xué)基金資助項(xiàng)目(70825006) 中國(guó)國(guó)家自然科學(xué)創(chuàng)新研究群體項(xiàng)目(71221001) 教育部人文社會(huì)科學(xué)研究青年基金資助項(xiàng)目(12YJC630118) 湖南省哲學(xué)社會(huì)科學(xué)基金資助項(xiàng)目(11YBA009)
【分類號(hào)】：F830.9;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前3條

1 劉大巍;陳啟宏;張，

本文編號(hào)：2270008