Αποτίμηση εξωτικών δικαιωμάτων επί ενός περιουσιακού στοιχείου και δυο χρονικών περιόδων
Pricing of single asset, two-period exotic options
View/
Keywords
Εξωτικά δικαιώματα ; Derivatives ; Exotic options ; Pricing of exotic options ; Dual expiry exotic options ; Pricing of dual expiry exotic options ; Παράγωγα χρηματοοικονομικά προϊόντα ; Τιμολόγηση εξωτικών δικαιωμάτων ; Τιμολόγηση εξωτικών δικαιωμάτων σε δυο χρονικές περιόδουςAbstract
Of particular interest in recent years, both by investors and by scientists, is the emergence of derivative financial products and, more specifically, of exotic options. Exotic options are more complex than simple options and show more variations in the way that they are priced and exercised.
In the first chapter we offer an introduction to Financial derivatives and their categories. We also present the geometric Brownian motion, the Black and Scholes model and the general Risk Neutral Pricing Formula. Finally, reference is made to some simple exotic option contracts, which will be useful for the pricing of exotic options in two time periods.
In the second chapter we deal extensively with exotic options priced in two time periods. The features of each option are captured, as well as the equations they are priced with, which will mainly concern us in the third chapter.
In the third and final chapter we are concerned with the pricing of two-period exotic options using Monte Carlo simulation. More specifically, by presenting a brief introduction to the Monte Carlo method, we proceed with the simulation of the geometric Brownian motion and the Black and Scholes model. The Monte Carlo estimated exotic options prices are compared with their exact values to verify their validity. Finally, a graphical representation of the price of each exotic option with respect to its parameters is made. In this work, the Wolfram Mathematica computational package was used to implement the valuation algorithms.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
86Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές