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期权作为最基础的金融衍生产品之一,为其定价一直是金融工程的重要研究领域。主要使用的定价方法有偏微分方程法、鞅方法和数值方法。而数值方法又包括了二叉树方法、有限差分法和蒙特卡洛模拟方法。本文就是探讨蒙特卡罗方法在期权定价中的应用。
As one of the most basic financial derivative products, the pricing of options has always been an important research field in financial engineering. The main pricing methods used are partial differential equations, martingale methods and numerical methods. The numerical method includes the binary tree method, finite difference method and Monte Carlo simulation method. This article explores the application of Monte Carlo method in option pricing.