The development of the option price theory provides business enterprise a beneficial tool to carry through property risk management, but a variety of option price theories are established on certain environments, and ...The development of the option price theory provides business enterprise a beneficial tool to carry through property risk management, but a variety of option price theories are established on certain environments, and they can not deal with crisis in uncertain environments precisely and quickly, especially when multi-factors change at the same time. Thus, price the option in uncertain environment has been becoming an important direction of research. In this paper, wc take the stock option for example~ using Quasi-Monte Carlo method to price the American-style option, and then provide an example to explain. The powerful assistant decision-making ability of the computer simulation is clearly expressed when we study and analyze the Quasi-Monte Carlo method＇s characteristics.展开更多
文摘The development of the option price theory provides business enterprise a beneficial tool to carry through property risk management, but a variety of option price theories are established on certain environments, and they can not deal with crisis in uncertain environments precisely and quickly, especially when multi-factors change at the same time. Thus, price the option in uncertain environment has been becoming an important direction of research. In this paper, wc take the stock option for example~ using Quasi-Monte Carlo method to price the American-style option, and then provide an example to explain. The powerful assistant decision-making ability of the computer simulation is clearly expressed when we study and analyze the Quasi-Monte Carlo method＇s characteristics.
