Efficient Monte Carlo Simulation for Pricing Variance Derivatives under Multi-Factor Stochastic Volatility Models
Efficient Monte Carlo Simulation for Pricing Variance Derivatives under Multi-Factor Stochastic Volatility Models
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DOI：
10.4028/www.scientific.net/amm.411-414.1089
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发表时间：
2013-09
期刊：
影响因子：
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通讯作者：
Junmei Ma;Guiding Gu
中科院分区：
文献类型：
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作者：
Junmei Ma;Guiding Gu
本文通过蒙特卡罗模拟研究了多因素随机波动模型下的方差掉期衍生品定价问题。利用控制变量技术有效地减小了仿真的方差。并对如何选择有效的控制变量进行了讨论。数值结果表明了该加速方法的高效性。本文的定价结构也适用于其他类型的方差掉期和其他金融衍生品在多因素模型下的估值。
This paper studied the pricing of variance swap derivatives under the multi-factor stochastic volatility models by Monte Carlo simulation. Control variate technique was well used to reduce the variance of the simulation effectively. How to choose the high efficient control variate was also contained. Then the numerical results show the high efficiency of the speed up method. The pricing structure in the paper is also applicable for the valuation of other types of variance swaps and other financial derivatives under multi-factor models.