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移动窗口巴黎期权是更高层次的极为复杂的巴黎期权,在可转换债券等领域均有广泛应用.在连续时间框架下,扩展了Anderluh的方法,通过模拟具有移动窗口巴黎期权特征的停时,给出了移动窗口巴黎期权的定价表达式、算法及算法实现,并且对比了累计巴黎期权、连续巴黎期权和移动窗口巴黎期权在不同参数条件下计算出来的价格,验证了所提出方法的有效性.最后,为了验证停时模拟方法的计算精度,将障碍期权(退化的巴黎期权)的解析解作为基准,比较了停时模拟和标准蒙特卡罗这两种算法,结果显示停时模拟算法具有较高的精度.该方法的应用将有利于提高可转债定价的精确度,为我国可转债的发行和投资决策提供有价值的依据.
Mobile window Paris option is a very high-level and complicated Paris option, which is widely used in the fields of convertible bonds, etc. In the continuous time frame, Anderluh’s method is extended. By simulating the stopping time of Paris option with moving window, The pricing expression, algorithm and algorithm of Paris option for mobile window are given, and the calculated prices of Paris option, Paris option and Paris option under different parameters are compared, and the validity of the proposed method is verified Finally, in order to verify the calculation accuracy of the stopping time simulation method, the analytic solution of the barrier option (degenerate Paris option) is used as a benchmark to compare the stopping time simulation and the standard Monte Carlo algorithms. The results show that the stopping time simulation algorithm has High accuracy.The application of this method will be helpful to improve the accuracy of the convertible bonds pricing and provide valuable basis for the issue of convertible bonds and investment decisions in our country.