Regular Of Exotic Options Pricing

This paper studies a number of issues about exotic option’s canonical valuation. The option pricing problem is one of the core issue in financial mathematics, and option pricing theory also promotes the development of the financial derivatives market, therefore, studying the option pricing theory has a very important scientific and practical significance.The tradition option pricing theory is assumed that the underlying assets must meet a specific model, such as diffusion model, stochastic volatility model, under the premise that all parameters in the model is determined, so we get a variety of conclusions of the option pricing. As for the actual market, we usually need to adopt the non-parametric method to determine the model in derivative securities pricing. The commonly used non-parametric method is Euler’s approximation method, but in1996Stutzer proposed a simple "canonical valuation" to price European option, and priced simulation European option which underlying asset price meet geometric Brown motion, indicating that the accuracy of this method is high. In addition, some scholars have extended the original method of Stutzer, they also proves that the method has good statistical properties in studing other derivative securities pricing problems. And compared with the tradition binary tree model, Black-Scholes model, this non-parametric method has more advantages.This paper mainly introduce the canonical valuation theory and development of the simple European option and American option, and extend this method to the non-parametric pricing problems of more general varieties of options (such as exotic options) in the CEV model environment, so to examine the pricing effect of this method in the environment of non-Black-Scholes model. Finally, we study the fitting effect of Asian option and Lookback option these two exotic options using canonical valuation estimation by simulation analysis and empirical analsis, so to indicate the feasibility and inadequacies of exotic option’s canonical valuation.