Numerical Analysis Methods for Pricing Options and Its Implementing Procedures

摘要：

With the development of the financial derivatives market, more and more complex and multi-dimensional options are being used nowadays. Numerical analysis methods is an essential tool for pricing these options, but doing it with manual will cost much of time and energy, using computer to help analyze is an inevitable trend. Basing on programming technology, this paper implements Java to numerical analysis methods for options pricing. With the java languages grammar rules and embedded function, we can realize the binomial model and the Monte Carlo simulation method of options pricing effectively. The results show that java language can be much faster and better to solve the pricing problems of both singular and complex Options.

关键词： Options pricing Monte-Carlo simulation Binomial method Antithetic vafiate technique Control variate technique

作者: XiaoFei Ge JunHai Ma

作者单位: Department of Finance,ZheJiang University of Finance & Economics,HangZhou 310018,P.R.China

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 152-156

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）