Accelerated Application Of Variance Reduction Methods In Asian Options Based On Stochastic Interest Rate Model

Due to the continuous acceleration of financial innovation,liberalization and global integration,various kinds of financial derivatives have been produced one after another.Options,as one of the most important financial derivatives,have been widely concerned.Since 1973,B-S model,under strict assumptions,has given the pricing equation of European options,which greatly promoted the development of option pricing theory.Over several years,the predecessors have made great contributions to the development of Black Scholes model that a variety of improvement measures are put forward in succession in order to reflect the market situation of the underlying assets more accurately and price the options better.Path-dependent options are generated according to the demand of the market and gradually become important product of options market.As a typical representative of path-dependent options,the research on pricing related issues of Asian options has become a hot topic,which is of great practical significance.This paper discusses the related problems of Asian options in the stochastic interest rate model.Asian options based on CIR can't give explicit solutions,so Monte Carlo method is often used to estimate option price and calculate Greeks of market risk sensitivity.On the basis,this paper discusses how to introduce the variance reduction method into the Monte Carlo simulation based on CIR Asian options to improve the efficiency of estimation of options-price and calculation of market risk degree.By experimental comparison and analysis,variance reduction method(such as importance sampling method,control variates method based on conditional expectation)can solve the related problems of Asian options more accurately and stably.