期权定价数值分析模型的计算机程序实现探讨

由于复杂的、多维度期权的应用越来越广泛,运用数值分析方法对其进行定价分析已成为一个必不可少的手段。然而,数值分析方法自身运算的复杂性,决定了其手工运算的成本高,因此充分发挥计算机的"精确、快速"优势是实现期权定价数值分析模型的一个必然趋势。基于计算机编程语言技术,研究了Java对数值方法的实现,及Java语言在期权定价中的应用;并通过java语言本身的语法规则、内嵌函数等,对期权定价的二叉树模型和蒙特卡罗模拟方法进行有效的实现。研究结果表明,运用java语言可以较快、较好地解决规则期权与奇异期权的定价问题。

To Discuss on Realizing Programs of Computer in the Numerical Analysis of Option Pricing Model

The complex, multi-dimensional option is being used more and more extensive, and the use of numerical analysis method for option pricing has become an essential tool. However, because of the complexity of the numerical analysis method, the cost of its manual operation is very large, therefore gives full play to the computer's advantage--"more accurate, more fast" for Option Pricing, and is an inevitable trend. This paper based on programming technology, implement Java to the numerical method, and use the Java language in the application of option pricing, and the java language's grammar rules and embedded function realizes the binary tree model and the Monte Carlo simulation method of option pricing effectively. The results show that the use of java language can be faster, better to solve the pricing of the singular and complex Option.