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基于分形高斯噪声叠加的蒙特卡罗模拟定价

Keywords: 分形布朗运动,分形高斯噪声,蒙特卡罗模拟,定价

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Abstract:

为了提高蒙特卡罗模拟定价的精度和效率,用循环嵌入方法快速精确地生成分形高斯噪声,进而叠加合成分形布朗运动,在此基础上运用蒙特卡罗方法模拟金融产品价格运动轨迹.通过对国电电力认购权证(国电CWB1)进行100个交易日模拟定价的结果表明,该方法比标准布朗运动能获得更高的定价精度.

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