Pricing Accelerated Simulation Theory of Generalized Autoregressive Conditional Heteroskedasticity Model

被引：0
|
作者：
Ma J. [1 ,2 ,3 ]
Zhuo J. [4 ]
Zhang J. [1 ]
Chen L. [1 ]
机构：
[1] School of Mathematics, Shanghai University of Finance and Economics, Shanghai
[2] Shanghai Key Laboratory of Financial Information Technology, Shanghai
[3] Key Laboratory of Applied Mathematics, Fujian Province University (Putian University), Putian
[4] School of Information Management and Engineering, Shanghai University of Finance and Economics, Shanghai
来源：
Tongji Daxue Xuebao/Journal of Tongji University | 2019年 / 47卷 / 03期
关键词：
Accelerate; Control variate; GARCH; Stochastic volatility; Variance derivatives;
D O I：
10.11908/j.issn.0253-374x.2019.03.019
中图分类号：
学科分类号：
摘要：
The accelerated simulation pricing theory of variance derivatives under generalized auto regressive conditional heteroskedasticity(GARCH) stochastic volatility model was studied. Based on the analytical solution under the Black-Scholes model and their moments analysis of these two kinds of processes, a more efficient acceleration technique of control variate was proposed and the method of selecting optimal control variate was also given. The numerical results show that the proposed accelerated simulation method of control variate effectively reduce the simulation error and improve the computational efficiency. The algorithm can also be used to solve the computational problems of other complex products under GARCH stochastic volatility model, such as Asian option, Basket option, Capped variance swap, Corridor variance swap and Gamma variance swap, etc. © 2019, Editorial Department of Journal of Tongji University. All right reserved.
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页码：435 / 443
页数：8
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