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Numerical Simulation of Option Pricing with Two-Asset

Author: HuangMeGu
Tutor: MeiZhengYang
School: Huazhong University of Science and Technology
Course: Probability Theory and Mathematical Statistics
Keywords: Lattice Model Act Finite Difference Method Option Pricing Two assets Stochastic Volatility
CLC: F830.9
Type: Master's thesis
Year: 2007
Downloads: 144
Quote: 0
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Abstract


Numerical simulation of option pricing long time , especially the numerical simulation of the single- asset option pricing , have a variety of methods : Monte Carlo simulation method , binomial tree method trinomial tree method , finite difference method . Article first some basic simulation method for single - asset option pricing : the binomial tree method trinomial tree method and finite difference method , these methods used in the article , numerical simulation, and numerical examples are as well as three the result of the comparison of the two methods . then , based on single- asset option pricing method , the paper studied the basic simulation of the two - asset option pricing method : lattice model method and finite difference method . lattice model , we use a five - grid model method, finite difference method for the two assets , the paper gives a more direct and effective way . implicit difference scheme based on the ternary option pricing problem , the minimax value of the two assets implicit finite difference method of numerical simulation options , direct solution by chasing method tridiagonal block matrix equation to get the price of a two - asset options . stochastic volatility have an important impact on the price of an option for single - asset stochastic volatility option pricing research for some time , but failed to study for two assets or assets stochastic volatility option pricing . Finally, the article assumes that earnings volatility of asset prices Following Markov chain to obtain a two - asset options pricing grid model method of stochastic volatility model , which gives the algorithm is easy to implement , and discusses the rationality of our approach , Finally, a numerical example is given , a further indication of this paper, simulation method is appropriate .

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