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采用具有均值回复特点的三叉树模型研究上摇一下摇特征或带有惩罚条款的复杂商品摇摆期权,并运用森林树法进行数值计算.进而分析最大可执行次数、每次执行最大可执行量、惩罚系数对摇摆期权价格的影响.此外还运用多次最优停时研究连续时间框架下的金融摇摆期权定价问题.为了避免高维诅咒,选择改进的最小二乘蒙特卡罗方法完成数值计算,并分析标的资产价格及最大可执行次数对期权价格的影响.数值分析结果表明,当实施次数为一次时,摇摆期权价格与相应的美式期权价格重合,从而在一定程度上验证了模型的正确性.
This paper uses the trilinear tree model with mean response to study the swing characteristics of complex commodities with swirling features or penalty terms and uses the forest tree method to do numerical calculation.And then analyzes the maximum executable times and the maximum executables, Penalty coefficient on the price of the swing option.In addition, we use multiple optimal stops to study the pricing problem of the financial swing option in the continuous time frame.In order to avoid the high-dimensional curse, we select the improved least-squares Monte Carlo method to complete the numerical calculation, And analyzes the influence of the underlying asset price and the maximum executable times on the option price.The numerical analysis shows that the price of the swing option coincides with the corresponding American option price when the number of executions is once, which verifies the correctness of the model to a certain extent .