Monte Carlo technique has two obvious advantages, the first is very flexible and easy to implement and the second is estimated error and convergence rate and independence of dimension of solving problem, which can be able to solve multiple high-dimensional derivative securities pricing.

  • 其中蒙特卡罗技术由于具有比较灵活且易于实现、估计误差及收敛速度与解决问题的维数独立等两个明显优势,从而能够较好地解决基于多标的变量的高维衍生证券的定价问题。

  • 互联网摘选 2024-12-14 16:46:06

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