Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations
Allende, Héctor ; Elías, Carlos
Internat. Statist. Rev., Tome 72 (2004) no. 1, p. 107-121 / Harvested from Project Euclid
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A mathematical statistical model is needed to obtain an option prime and create a hedging strategy. With formulas derived from stochastic differential equations, the primes for US Dollar/Chilean Pesos currency options using a prime calculator are obtained. Furthermore, a backward simulation of the option prime trajectory is used with a numerical method created for backward stochastic differential equations. The use of statistics in finance is highly important in order to develop complex products.
Publié le : 2004-04-14
Classification:  Black-Scholes model,  Stochastic differential equations,  Options prime,  Hedging strategy 
@article{1079360117,
     author = {Allende, H\'ector and El\'\i as, Carlos},
     title = {Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations},
     journal = {Internat. Statist. Rev.},
     volume = {72},
     number = {1},
     year = {2004},
     pages = { 107-121},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1079360117}
}

Allende, Héctor; Elías, Carlos. Estimation of the Option Prime: Microsimulation of Backward Stochastic Differential Equations. Internat. Statist. Rev., Tome 72 (2004) no. 1, pp.  107-121. http://gdmltest.u-ga.fr/item/1079360117/