Métodos de apreçamento de opções americanas e determinação da curva de gatilho através da simulação de Monte Carlo

DOI10.1590/S0101-74382008000300005zbMath1282.91373OpenAlexW2042093757MaRDI QIDQ4905625

Fernando Antonio Lucena Aiube, Javier Castro, Tara Baidya

Publication date: 19 February 2013

Published in: Pesquisa Operacional (Search for Journal in Brave)

Full work available at URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382008000300005&lng=en&nrm=isoce&tlng=pt

zbMATH Keywords

Monte Carlo simulationfinancial derivativesAmerican put options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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