고 변동성 자산의 베리어 옵션 가격결정을 위한 부분 시뮬레이션의 효율적 활용
📝 원문 정보
- Title: Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation
- ArXiv ID: 1803.03364
- 발행일: 2018-03-29
- 저자: Keegan Mendonca, Vasileios E. Kontosakos, Athanasios A. Pantelous, and Konstantin M. Zuev
📝 초록 (Abstract)
배리어 옵션은 주식 거래소에서 가장 널리 거래되는 이국적인 옵션 중 하나입니다. 본 논문에서는 배리어 옵션의 가격 결정 및 해당 실행 확률을 추정하기 위한 새로운 확률적 시뮬레이션 방법을 개발하였습니다. 제안된 방법은 표준 몬테카를로 접근법보다 항상 우수한 성능을 보여주며, 기초 자산이 높은 변동성을 가질 때 크게 효율적이게 됩니다. 특정 배리어 옵션과 기초 자산의 경우 멀티레벨 몬테카를로보다도 더 나은 성능을 나타내는 것을 확인하였습니다. 이러한 이론적 결과들은 많은 시뮬레이션 결과들에 의해 검증되었습니다.💡 논문 핵심 해설 (Deep Analysis)
This paper introduces a novel approach for pricing barrier options and estimating their execution probabilities through subset simulation, an advanced stochastic technique. Barrier options are special financial derivatives that become active or inactive based on the price levels of underlying assets. Traditionally, their accurate valuation has been challenging, especially with highly volatile assets, where standard Monte Carlo methods tend to be inefficient.The paper’s key contribution is a method that uses subset simulation, which breaks down complex problems into smaller parts for more efficient solution finding. This technique surpasses traditional Monte Carlo approaches and becomes particularly effective when dealing with high-volatility assets. The results are substantiated through extensive simulations, indicating better performance in specific cases compared to both standard and multilevel Monte Carlo methods.
The significance of this research lies in its potential to enhance the accuracy and speed of barrier option pricing, especially for volatile markets. This can lead to more informed investment decisions by providing a robust framework for evaluating these complex financial instruments.