CAJ | 학술논문

在风险资产价格服从跳扩散过程模型的假设下，利用蒙特卡洛方法给出了两种亚式期权的近似价格。首先根据风险资产所满足的跳扩散方程，利用Matlab编程给出了基础资产价格的价格变化路经。最后基于蒙特卡洛原理给出了亚式期权和欧式期权的近似价格，并进行了对比分析。
재풍험자산개격복종도확산과정모형적가설하，이용몽특잡락방법급출료량충아식기권적근사개격。수선근거풍험자산소만족적도확산방정，이용Matlab편정급출료기출자산개격적개격변화로경。최후기우몽특잡락원리급출료아식기권화구식기권적근사개격，병진행료대비분석。
With the assumption that the risky asset price satisfies jump-diffusion processes models, this paper, by using Monte Caro method, gives the approximate prices of two kinds of Asian options. First, based on Matlab program, we work out the changing path of basic asset prices. Then we put forward and compare the approximate prices of arithmetic Asian options, Geometric Asian options and European options.