Advanced Search
MyIDEAS: Login to save this paper or follow this series

WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options

Contents:

Author Info

Abstract

2001 the first version WARRANT-PRO-2 (0.1) has been presented, see Breitner and Burmester (2002), which optimizes cash settlements for European double-barrier options and warrants. From the viewpoint of financial mathematics, some of the boundary conditions of the partial differential Black-Scholes equation are parameterized. The Black-Scholes equation is solved with a numerical Crank-Nicholson scheme and the parameters are optimized by nonlinear programming, i. e. an advanced SQP-method. In the upgraded version WARRANT-PRO-2 (0.2) an option?s deviation from a predefinable Delta (performance index) is minimized. The global error order of the Crank-Nicholson scheme is now quadratic in time (option's time to maturity) and space (market price of the option's underlying). The gradient of the performance index is computed highly accurate with automatic differentiation. Now a MATLAB-GUI (graphical user interface) allows easy evaluation, design and visualization of options and warrants. WARRANT-PRO-2 (0.2) and its GUI run stand-alone on LINUX PCs and laptops. Optimized options can combine the advantages of futures and options. Delta can be made almost constant for long periods and for a wide range of underlying market prices. Thus, no Delta-hedge adaptation is required. Moreover, tedious margining is not necessary. Optimized European double-barrier options are very interesting derivatives for both buyer and issuer and can revolutionize modern financial markets, see also www.iwi.uni-hannover.de/warrantpro2.html .

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Institut für Wirtschaftsinformatik, Universität Hannover in its series IWI Discussion Paper Series with number 5.

as in new window
Length: 35 pages
Date of creation: 20 May 2003
Date of revision:
Handle: RePEc:ifw:iwidps:iwidps05

Note: PDF document available via email.
Contact details of provider:
Postal: Königsworther Platz 1, D-30167 Hannover
Phone: +49-511-762-4978
Fax: +49 (0)511/762-4013
Web page: http://www.iwi.uni-hannover.de
More information through EDIRC

Order Information:
Email:

Related research

Keywords: Financial derivatives; options and futures; hedging tactics; Black-Scholes-model; optimal control and optimization; automatic differentiation; partial differential equations; software engineering; software quality;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ifw:iwidps:iwidps05. See general 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: (RePEc-Administrator) The email address of this maintainer does not seem to be valid anymore. Please ask RePEc-Administrator to update the entry or send us the correct address.

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.