摘要翻译:
在Heston(1993)随机波动率模型下,我们提出了敲入和敲出障碍期权定价的拟蒙特卡罗算法。这是通过修改Imai和Tan(2006)对Heston模型的LT方法,使得第一个一致变量不影响随机波动路径,然后有条件地修改其边缘以满足障碍条件来实现的。我们证明了该方法是无偏的,并且不会比无条件算法差。此外,条件与根查找方法相结合,也迫使积极的支出。大量的数值结果表明了该方法的有效性。
---
英文标题:
《Conditional sampling for barrier option pricing under the Heston model》
---
作者:
Nico Achtsis, Ronald Cools and Dirk Nuyens
---
最新提交年份:
2012
---
分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
--
一级分类:Mathematics 数学
二级分类:Numerical Analysis 数值分析
分类描述:Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法,科学计算
--
---
英文摘要:
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and Tan (2006) for the Heston model such that the first uniform variable does not influence the stochastic volatility path and then conditionally modifying its marginals to fulfill the barrier condition(s). We show this method is unbiased and never does worse than the unconditional algorithm. Additionally the conditioning is combined with a root finding method to also force positive payouts. The effectiveness of this method is shown by extensive numerical results.
---
PDF链接:
https://arxiv.org/pdf/1207.6566