本文从风险中性定价的角度出发,给出了在随机波动模型下定价方差互换的一类控制变量,从而大大提高了使用蒙特卡罗方法计算方差互换价格时的效率,并在波动率的平方满足几何布朗运动(GBM)和波动率满足Ornstein-Uhlen—beck(OU)过程这两种随机波动情况下给出了控制变量的具体形式。特别对于GBM型随机波动模型,可以得到一系列控制变量,从而进行多元控制。%In this paper, we provide a class of control variates for pricing variance swap under stochastic volatility models using the risk-neutral pricing formula. When the square of volatility satisfies geometric brownian motion (GBM) and the volatility satisfies Ornstein-Uhlenbeck (OU) process, we give the idiographic control variates. In particular, for the GBM type model, we can provide a class of variates, which allow us to perform multiple controls.
展开▼