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雷达卡
摘要翻译：
我们提出了一种美式期权的定价方法，其收益依赖于标的资产价格的移动平均数。该方法使用基于截断拉盖尔级数展开的移动平均过程的无限维动力学的有限维近似。该问题是一个有限维最优停止问题，我们提出用最小二乘蒙特卡罗方法求解。我们分析了该方法的理论收敛速度，并在Black-Scholes框架下给出了数值结果。
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英文标题：
《A finite dimensional approximation for pricing moving average options》
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作者：
Marie Bernhart, Peter Tankov and Xavier Warin
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a finite-dimensional optimal stopping problem, which we propose to solve with a least squares Monte Carlo approach. We analyze the theoretical convergence rate of our method and present numerical results in the Black-Scholes framework.
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PDF链接：
https://arxiv.org/pdf/1011.3599
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