最新2012随机游走障碍期权定价模型

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Application of simplest random walk algorithms for pricing barrier optionsM. Krivko, M.V. Tretyakov
(Submitted on 25 Nov 2012)

We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm uses the weak Euler approximation far from barriers and a special construction motivated by linear interpolation of the price near barriers. It is easy to implement and is universal: it can be applied to various structures of the contracts including derivatives on multi-asset correlated underlyings and can deal with various type of barriers. In contrast to the Brownian bridge techniques currently commonly used for pricing barrier options, the algorithm tested here does not require knowledge of trigger probabilities nor their estimates. We illustrate this algorithm via pricing a barrier caplet, barrier trigger swap and barrier swaption.

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关键词：期权定价模型 障碍期权 随机游走 期权定价 定价模型 2012 模型 including special option

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