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Valutazione di opzioni exchange attraverso la simulazione Monte Carlo e stima delle sensitivita'

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  • Giovanni Villani

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    Abstract

    Exchange options give the holder the right to exchange the asset V for the asset D. They present an important role for the evaluation of investment projects which have uncertainty both in the gross value (underlying asset) and in the investment costs (exercise price). In this paper we propose to elaborate some MATLAB algorithms to estimate exchange options with Monte Carlo simulation. Then, through the estimate and analysis of sensitivity, we compare the most important exchange options emphasizing the american sequential exchange option.

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    Bibliographic Info

    Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number 10-2004.

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    Date of creation: Oct 2004
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    Handle: RePEc:ufg:qdsems:10-2004

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    Keywords: Exchange Options; Real Options; Monte Carlo Simulation;

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    1. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
    2. Carr, Peter P, 1988. " The Valuation of Sequential Exchange Opportunities," Journal of Finance, American Finance Association, vol. 43(5), pages 1235-56, December.
    3. Giovanni Villani, 2004. "Valutazione di progetti di investimento e-commerce attraverso le opzioni reali," Quaderni DSEMS 06-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    4. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
    5. Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-24, December.
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