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Valutazione e copertura delle opzioni binarie e a barriera

Author

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  • Francesco Sguera

Abstract

Lo scopo di questo lavoro è trattare in modo organico i modelli di valutazione delle opzioni binarie e a barriera che si collocano nel filone "classico" dell'option pricing. Come nella valutazione delle opzioni standard, la problematica del pricing è collegata, ma distinta, da quella della gestione e della copertura delle posizioni. Nell'ordine, si esaminano le opzioni binarie (sia di tipo europeo che di tipo americano), le opzioni a barriera di tipo regular e le reverse barrire option. Nel capitolo conclusivo si presenta un raffronto a mezzo di simulazioni numeriche tra i risultati di strategie di copertura statiche e dinamiche delle tipologie di opzioni sopra menzionate.

Suggested Citation

  • Francesco Sguera, 1999. "Valutazione e copertura delle opzioni binarie e a barriera," Alea Tech Reports 001, Department of Computer and Management Sciences, University of Trento, Italy, revised 17 Jun 2008.
    • Handle: RePEc:trt:aleatr:001
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