加权蒙特卡罗：微笑校准和保持鞅条件
Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
摘要：
加权蒙特卡罗定价奇异期权校准的概率先前生成的路径由一个常规的蒙特卡罗，以适应一组期权溢价。当只考虑普通看涨期权和看跌期权以及远期价格时，鞅条件可能不成立。本文表明，这确实是这种情况下，克服了这个问题，通过添加额外的合成选项。提出了一种鲁棒、快速、易于实现的标定算法。结果说明了几何集团选项，显示如何价格的影响可以是显着的。
英文摘要：
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla call and put options and forward prices are considered, the Martingale condition might not be preserved. This paper shows that this is indeed the case and overcomes the problem by adding additional synthetic options. A robust, fast and easy-to-implement calibration algorithm is presented. The results are illustrated with a geometric cliquet option which shows how the price impact can be significant.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
