Avaliação de Opções Americanas com Barreiras Monitoradas de Forma Discreta
This 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.
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