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put option price in Monte Carlo simulation

时间: 2024-06-04 21:14:01 浏览: 77

基于蒙特卡洛模拟计算期权价格

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基于蒙特卡洛模拟计算期权价格。期权（含买权和卖权）种类涵盖欧式、亚式、美式、欧式回望。其中欧式亚式、欧式回望期权定价采取普通的蒙特卡洛模拟，美式期权定价采取最小二乘蒙特卡洛模拟。每次模拟都会得到一个期权价格，模拟若干次求平均即可得到最终的期权价格。将每次模拟的期权价格可视化。开发了一个集成界面

The price of a put option in Monte Carlo simulation can be calculated using the following steps: 1. Determine the underlying asset's current price, volatility, and risk-free interest rate. 2. Generate a large number of random price paths for the underlying asset, based on the current price, volatility, and time horizon. 3. Calculate the payoff for each price path at the expiration of the option. For a put option, the payoff is the strike price minus the final price of the underlying asset if the final price is lower than the strike price, or zero if the final price is higher than the strike price. 4. Calculate the average payoff across all the price paths. 5. Discount the average payoff using the risk-free interest rate to obtain the present value of the put option. 6. Repeat the simulation multiple times to obtain a range of possible prices for the put option, and calculate the mean and standard deviation of the prices.

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