【摘要】 本文应用最优停止理论给出了美式期权定价的一般理论框架,进而给出了美式期权普通多项式偏最小二乘仿真定价算法.解决了当前普通最小二乘方法的理论缺陷.最后以数字实验演示了无红利美式股票卖权的价值计算,实验结果表明该方法是可行的.更多还原

【Abstract】 The paper presents a general theoretic frame based on the theory of optimal timing. Upon which, the simulating algorithm for American put options is introduced with the tool of partial least square polynomial. Finally, an American put option is priced in a numeric simulating case, with no dividend involved.更多还原