準蒙地卡羅法用於選擇權定價

Quasi-Monte Carlo Methods for Option Pricing

陳宜廷(Yi-Ting Chen)

指導教授 ： 呂育道

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.10069

摘要

本篇論文主旨在於評估類蒙地卡羅法。傳統蒙地卡羅法已經被證明是估計封閉解不存在的資產價格的一件有價值的工具；而類蒙特卡羅法保留了傳統蒙地卡羅法的彈性，更增加了模擬速度快與收斂速度快的特性。
本篇論文比較此發法應用於3種類選擇權定價問題︰歐式選擇權，彩虹選擇權和亞式選擇權。

關鍵字

蒙地卡羅 ； 選擇權定價

並列摘要

Monte Carlo simulation has proved to be a valuable tool for estimating security prices for which closed form solutions do not exist. This thesis evaluate the Quasi-Monte Carlo method that has attractive properties for the numerical valuation of derivatives and examines the use of Monte Carlo simulation with low-discrepancy sequences for valuing derivatives versus the traditional Monte Carlo method using pseudo-random sequences.
The relative performance of the methods is evaluated based on three financial securities pricing problems: European call options, rainbow options, and Asian options.

並列關鍵字

Quasi-Monte Carlo ； Option Pricing

參考文獻

[1] YUH-DAUH LYUU, Financial Engineering and Computation. Cambridge University, UK, 2002.

[2] PETER JACKEL, Monte Carlo Methods in Finance. John Wiley & Sons, UK, 2002

[6] GALANTI, SILVIO AND ALAN JUNG. “Low-Discrepancy Sequences: Monte Carlo Simulation of Option Prices.” The Journal of Derivatives, 5, No. 1 (Fall 1997), 63-83.

[7] MERSNEE TWISTER, “A 623-Dimensionally Equidistributed Uniform Pseudo-Random Number Generator.” ACM Transactions on Modeling and Computer Simulation, Vol. 8, No. 1, January 1998, pp. 3-30.

[3] J. C. HULL, Options, Futures, and Other Derivatives. 5th Edtion, Prentice Hall, Englewood Cliff, NJ, 2003.