| 美式期权的Monte Carlo模拟法定价理论及应用 |
| |
| 引用本文： | 唐明琴.美式期权的Monte Carlo模拟法定价理论及应用[J].广东金融学院学报,2007,22(5):36-40. |
| |
| 作者姓名： | 唐明琴 |
| |
| 作者单位： | 广东金融学院,经济贸易系,广东,广州,510521 |
| |
| 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。
|
| 关 键 词： | 美式期权 定价理论 MonteCarlo模拟法1 |
Research on Monte Carlo simulation method for pricing American options |
| |
| Tang Mingqin.Research on Monte Carlo simulation method for pricing American options[J].Journal of Guangdong University of Finance,2007,22(5):36-40. |
| |
| Authors: | Tang Mingqin |
| |
| Abstract: | 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. |
| |
| Keywords: | American Options Numerical Method Monte Carlo Simulation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
