作 者: ;
机构地区: 广东金融学院经济贸易系
出 处: 《广东金融学院学报》 2007年第5期36-40,共5页
摘 要: 近年来随着计算机技术的飞速发展,美式期权的Monte Carlo模拟法定价取得了实质性的突破。本文分析介绍了美式期权的Monte Carlo模拟法定价理论及在此基础上推导出的线性回归MonteCarlo模拟法定价公式及其在实际的应用。 In recent years, as the technique of CPU developing quickly, pricing American options by Monte Carlo simulation has acquired a large success. This paper focus on introducing and analyzing the recent researches on pricing American options by Monte Carlo simulation. The paper includes a survey of American option and its pricing, describes the Monte Carlo simulation, provides the researches of pricing American options by Monte Carlo simulation.
领 域: [经济管理]