喀什师范学院学报
喀什師範學院學報
객십사범학원학보
JOURNAL OF KASHGAR TEACHERS COLLEGE
2014年
6期
10-12,30
,共4页
求和最小二乘蒙特卡罗模拟%美式篮子期权%维数灾难
求和最小二乘矇特卡囉模擬%美式籃子期權%維數災難
구화최소이승몽특잡라모의%미식람자기권%유수재난
Sum Least squares Monte Carlo Simulation%American basket option%Dimension curse
主要针对美式分红篮子买权的定价进行研究。美式篮子期权定价通常采用即最小二乘蒙特卡罗模拟。但是此方法存在拟合参数随标的资产维数增加而产生的“维数灾难”。故此，提出了求和最小二乘蒙特卡罗模拟，并通过数值试验较好地验证了该方法的有效性。
主要針對美式分紅籃子買權的定價進行研究。美式籃子期權定價通常採用即最小二乘矇特卡囉模擬。但是此方法存在擬閤參數隨標的資產維數增加而產生的“維數災難”。故此，提齣瞭求和最小二乘矇特卡囉模擬，併通過數值試驗較好地驗證瞭該方法的有效性。
주요침대미식분홍람자매권적정개진행연구。미식람자기권정개통상채용즉최소이승몽특잡라모의。단시차방법존재의합삼수수표적자산유수증가이산생적“유수재난”。고차，제출료구화최소이승몽특잡라모의，병통과수치시험교호지험증료해방법적유효성。
his paper mainly focus on the pricing of the American basket call options with dividend. American bas-ket call option can be pricing by the typical Least squares Monte Carlo simulation [2,3,4] .While“dimension curse”occurs ,which means that the dimension of underlying assets increases when the parameters of the fitting curve in-crease exponentially. Aiming at the limit of this method, the Sum Least squares Monte Carlo simulation, SLSMCS for short, is introduced. Finally, the method presented is tested, the results are satisfied.
