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Issue:
ou shi qi quan jia ge de monte-carlo mo ni
Author(s):
ZHOU Xinlian
Pages:
33
-
34
Year:
2007
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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