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ou shi qi quan jia ge de monte-carlo mo ni
Author(s): 
Pages: 33-34
Year: Issue:  8
Journal: PIONEERING WITH SCIENCE & TECHNOLOGY MONTHLY

Keyword:  Monte-Carlo模拟方差缩减技巧对偶变量法(AV)期权定价模型;
Abstract: 采用Monte-Carlo模拟方法对欧式看涨期权价格进行了数值实验模拟,把对偶变量(AV)方差下降技术运用于模拟试验中,并用标准MC方法模拟出的结果与AV法模拟出的结果进行比较,发现AV方法是有效的,能显著地降低方差.
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