论文标题
具有有限流动性的交换选项的数值仿真：受控变量模型
Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model
论文作者
论文摘要
在本文中，我们在有限流动性的市场中开发了用一对相关资产写的欧洲风格交换选项的数值定价方法。与标准的多资产黑色 - choles框架相反，我们的市场模型中的交易对资产的价格有直接影响。与大型交易者流动性模型一样，通过特定的交易策略将价格影响纳入了第一资产的动态。实施了二维米尔斯坦计划，以模拟这对资产价格。选项值是由Monte Carlo用Margrabe选项作为受控变量来估计的。包括这些数值方案的时间复杂性。最后，我们提供了一个深度学习框架，以在生产环境中有效实施此模型。
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast to the standard multi-asset Black-Scholes framework, trading in our market model has a direct impact on the asset's price. The price impact is incorporated into the dynamics of the first asset through a specific trading strategy, as in large trader liquidity model. Two-dimensional Milstein scheme is implemented to simulate the pair of assets prices. The option value is numerically estimated by Monte Carlo with the Margrabe option as controlled variate. Time complexity of these numerical schemes are included. Finally, we provide a deep learning framework to implement this model effectively in a production environment.
