摘要
针对有分红美式篮子看涨期权,使用格点法与蒙特卡罗模拟法定价时,会产生"维数灾难".对此,将期权的收益项进行适当改写,然后利用几何平均与算术平均之间的关系,将标的资产组合从算术平均转化为几何平均;然后在单标的资产美式期权解析近似定价模型的基础上,提出了一种解析近似方法为美式分红篮子看涨期权进行定价(Analytical Approximation Method,简称AAM).此方法解决了"维数灾难"问题.最后,通过数值结果验证了该方法的有效性.
The＂dimensionality curse＂incurred by the Lattice method and Monte Carlo simulation method in pricing the American Basket Call Option forces us to make some adjustment by rewriting the option income items.By use of the relation between the arithmetic mean and geometric mean,the underlying asset portfolio is transformed from a arithmetic mean into a geometric mean;then based on the BW（American single underlying asset option analytical approximation pricing model）,a new Analytical Approximation Method（AAM）for pricing the American Basket Call Option with dividend is worked out,which successfully gets rid of the＂Curse of Dimensionality＂and numerical simulation also proves its validity.
出处
《内江师范学院学报》
2014年第10期19-22,27,共5页
Journal of Neijiang Normal University
关键词
美式篮子期权
维数灾难
解析近似法
American basket option
Dimensionality curse
Analytical approximation method
