Calibration of Asset-Pricing Models by Optimal Importance Sampling

以最佳重點性抽樣對資產訂價模型校準

林薏雯(Yi-Wen Lin)

指導教授 ： 韓傳祥

國立清華大學/科技管理學院/計量財務金融系/碩士(2009年)

摘要

This thesis consists of two parts. In the first part, we propose some
computational methods to improve the basic Monte Carlo simulations when
estimating option prices because of its slow convergence rate. We also prove
that our importance sampling method is efficient theoretically and numeri-
cally. And our importance sampling methods is not only suited for European
options with deterministic volatility and interest rate, but also applied to
the one with stochastic volatility and interest rate. In the latter case, we
propose an approximate probability measure to avoid difficulty of compu-
tation. Numerical proof is shown for these two cases as well.
In the second part, the simulation methods are applied to model cali-
bration to option market prices. Since the calibrating procedure is time-
consuming, the efficient importance sampling method developed in the pre-
vious stage becomes essential. We use Fourier series method, which is fully
model-free and nonparametric, to estimate the time series volatility of any
stochastic underlying process. By calibrating to the market prices, we can
observe some parameters in the volatility process; speed of mean-reversion,
volatility of volatility and long-run mean, etc.

關鍵字

蒙地卡羅模擬 ； 重點性抽樣 ； 選擇權訂價模型 ； 校準方法 ； 傅立葉序列方法

並列摘要

無資料

並列關鍵字

Monte Carlo simulations ； Importance sampling ； Option pricing ； Calibration ； Fourier series method

參考文獻

[1] Avellaneda, M. (1998), "Minimum-Relative-Entropy Calibration of Asset

Pricing Models". International Journal of Theoretical and Applied Finance,

Methods for Calibrating Asset-Pricing Models". Proceedings of the Interna-

tional Congress of Mathematicians, Documenta Mathematica, 3, 545-563

Newman, J. (2001), "Weighted Monte Carlo: A New Technique for Calibrating