The Application in Option Pricing of Monte Carlo Imitating Method of Weighting Sample

摘要：

　　This article presents an improved approach to simulate Option Price with Monte Carlo Method.It suggested using weighed samples to simulate fluctuations in prices of the Underlying Assets instead of random samples and then to estimate Option Price.Last,this paper showed a more stable estimation of Option Price with the improved approach through a case study.

关键词： Weighted Sample Monte Carlo Option Pricing

作者: LIU Hefei ZHANG Bo

作者单位: Mathematical and Information Sciences Department,Qujing Normal University,Qujing Yunnan China,655011 Graduate Department,Yunnan University,Kunming,China,650091

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 608-615

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）