文章詳目資料
International Journal of Uncertainty and Innovation Research
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| 篇名 | American Futures Option pricing Based on Weighted Least Squares Quasi-Monte Carlo |
|---|---|
| 卷期 | 2:2 |
| 作者 | Li-Li Xu 、 Su-Juan Pan 、 Ting-Cheng Chang 、 Si-Gui Ruan |
| 頁次 | 135-150 |
| 關鍵字 | American option pricing 、 Least-Squares Monte Carlo 、 Sobol sequence 、 control variates |
| 出刊日期 | 202008 |
中文摘要
英文摘要
American option pricing research has always been the core issue of financial research. Based on Least-Squares Monte Carlo method, this paper using randomized Sobol sequence and control variable method, the weighted least square Quasi Monte Carlo method is obtained. Finally, the empirical analysis is carried out, the validity and accuracy of weighted least square Quasi Monte Carlo are verified.
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