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arXiv math/98010571998-01-12math.NAcs.NAq-fin.CP

使用蒙特卡洛方法对路径依赖的美式期权进行估值

Valuation of path-dependent American options using a Monte Carlo approach

H. Sorge

备注：: 32 pages LaTeX including 4 postscript figures

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AI总结：

本文提出一种通过优化特定收益函数跟踪行权与持有区域边界的蒙特卡洛算法，用于准确计算美式期权价值，尤其适用于路径依赖型期权。

摘要：

展示了如何使用蒙特卡洛模拟获得美式期权的精确值。该新算法的主要特点是通过优化某个收益函数来跟踪行权与持有区域之间的边界。我们将某些类型索赔的模拟估计值与二叉树计算的结果进行比较，发现它们非常吻合。该新方法能够计算迄今难以处理的路径依赖期权价值。

英文摘要：

It is shown how to obtain accurate values for American options using Monte Carlo simulation. The main feature of the novel algorithm consists of tracking the boundary between exercise and hold regions via optimization of a certain payoff function. We compare estimates from simulation for some types of claims with results from binomial tree calculations and find very good agreement. The novel method allows to calculate so far untractable path-dependent option values.

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