摘要
利用蒙特卡罗模拟得到几何布朗运动环境下标的资产的价格路径样本,然后应用偏最小二乘回归给出了美式-亚式期权的价格.与基于扰动分析估计的随机近似方法及普通最小二乘回归方法相比,在保证精度的前提下,该方法具有更好的稳定性和更快的收敛速度.
An American-Asian is valued option based on the partial least-squares regression. In the interim, the price samples of underlying asset in the option are obtained by using Monte Carlo simulation, whose price process obeys Geometric Brownian Motion. Compared with the stochastic approximation method based on the perturbation analysis estimators and the simple least-squares approach, this method has better stability and higher convergence speed, besides on the premise of ensuring accuracy.
出处
《纺织高校基础科学学报》
CAS
2008年第1期124-127,130,共5页
Basic Sciences Journal of Textile Universities
基金
陕西省教育厅自然科学专项基金资助项目(05JK207)
关键词
蒙特卡罗模拟
偏最小二乘回归
关式-亚式期权
Monte Carlo simulation
partial least-squares regression
American-Asian option
作者简介
通讯作者：王拉省（1963-），男，陕西省岐山县人，西安工程大学教授．E-mail：wanglasheng@126．com
