百慕大期权
- 网络bermudan option;Bermuda option
百慕大期权-
本文研究永久百慕大期权的定价问题。
We consider pricing problem of the perpetual Bermudan option .
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采用偏微分方程方法讨论了带跳扩散项的永久百慕大期权定价问题。
In this paper , we study the pricing problem of the perpetual Bermudan option with jump-diffusion by PDE ( partial differential equation ) method .
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文章在对美式互换期权定价进行实证分析时选择了最小二乘蒙特卡洛模拟方法，由于无法在市场上得到某特定美式互换期权信息和市场数据，只能虚拟出某个百慕大互换期权进行模拟定价。
We choose least-squares Monte Carlo simulation methods for empirical analysis of American swaption pricing , but we are failed to get the market information about some particular American-style swaptions , so we have to use a virtual Bermuda swaption to process option pricing .