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arXiv 2007.02076q-fin.CP
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关于$π$ -期权模拟定价的注记

Note on simulation pricing of $π$-options

Zbigniew Palmowski, Tomasz Serafin

摘要:

在这项工作中,我们采用了Broadie和Glasserman(1997)介绍的蒙特卡罗算法来定价$π$ -选项。这种方法是基于模拟价格树,来自离散化和复制的潜在资产的价格的可能轨迹。因此,该算法产生的下限和上限收敛到真正的价格与树的深度增加。在特定的参数化下,该$π$ -选项与相对最大回撤相关,并且可以在真实市场环境中用于保护投资组合免受波动和意外价格下跌的影响。我们还提供了一些数值分析。

英文摘要:

In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman (1997) to price a $π$-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying asset's price. As a result this algorithm produces the lower and the upper bounds that converge to the true price with the increasing depth of the tree. Under specific parametrization, this $π$-option is related to relative maximum drawdown and can be used in the real-market environment to protect a portfolio against volatile and unexpected price drops. We also provide some numerical analysis.

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