Avaliação de Opções Americanas com Barreiras Monitoradas de Forma Discreta
AbstractThis present paper aims at evaluating the discrete american barrier options. The model developed consists in an adaption of the Grant, Vora e Weeks (GVW) method (1997), so as to contemplate the barriers. The Hybrid Quasi-Monte Carlo Method was applied in the realized simulations, while the Bisection Method was applied to define the critical price for early exercise of the option. The results presented by this model were then compared with the premiums estimated by the Adaptive Mesh Model, developed by Ahn et al (1999). In addition, the sensibility of the premiums relative to changes in some inputs parameters was analyzed, confirming the consistence of the two models. It’s important to note that, different from the lattice model used as a benchmark in this paper, the adaption of the GVW model has the advantage to allow directly the evaluation of continuous discrete american barrier options.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 182.
Date of creation: Apr 2009
Date of revision:
Contact details of provider:
Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-02 (All new papers)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benjamin Tabak).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.