Methods for Pricing and Hedging Plain Vanilla Barrier Options Год выпуска: 2013Автор: Emmanuel DeogratiasИздательство: LAP Lambert Academic PublishingСтраниц: 124ISBN: 9783659362316Описание The Black Scholes Model (1973) is used to price and hedge plain vanilla barrier options on a non dividend paying asset. Under this model, Monte Carlo Simulation, Stratified sampling, Simpson’s rule, Trapezoidal rule and Antithetic variable techniques have been used to determine the value and hedging portfolio of a plain vanilla barrier option. Also stochastic dynamic programming has been developed so as to determine the price and hedging portfolio of the option. Finally the methods are compared to each other in terms of accuracy. It is found that stratified sampling technique is the best method after comparing with other methods.
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Сергей Спасибо за маркетинговое исследование, всё прошло после консультаций с вами
