单资产美式期权敏感性估计的路径导数方法

Nan Chen, Yanchu Liu
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引用次数: 0

摘要

本文研究了单资产美式期权敏感性的蒙特卡罗估计方法。利用最优停止问题的运动边界的两个特征,即“连续拟合”和“平滑粘贴”条件,我们导出了一阶和二阶导数的无偏路径估计量。我们的方法可以很容易地嵌入到一些流行的一维美式期权定价算法中。数值算例说明了该方法的准确性和有效性。
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Pathwise derivative methods on single-asset American option sensitivity estimation
In this paper, we investigate efficient Monte Carlo estimators to American option sensitivities on single asset. Using two features of the exercising boundary of the optimal stopping problem, the “continuous-fit” and “smooth-pasting” conditions, we derive unbiased pathwise estimators for first and second-order derivatives. Our method can be easily embedded into some popular algorithms for pricing one-dimensional American options. Numerical examples on vanilla puts illustrate accuracy and efficiency of the method.
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