Opciones tipo barrera sobre la tasa de cambio Peso/Dólar
This paper shows the results obtained from reviewing diverse existing methodologies for the valuation and risk measurement of European Barrier Options, mainly focusing in the revision of numerical methods. The results obtained corroborate that the Monte Carlo Simulations as a valuation methodology f...
- Autores:
-
Juan Carlos Botero RamíreZ
Ángela María Pérez Muñoz
- Tipo de recurso:
- Fecha de publicación:
- 2019
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/14053
- Acceso en línea:
- http://hdl.handle.net/10784/14053
- Palabra clave:
- Plain Vanilla Options
Knock In Options
Knock Out Options
In the money
At the money
Out of the money
Opciones Plain Vanilla
Opciones Knock In
Opciones Knock Out
In the money
At the money
Out of the money
- Rights
- License
- Copyright © 2007 Juan Carlos Botero RamíreZ, Ángela María Pérez Muñoz
| Summary: | This paper shows the results obtained from reviewing diverse existing methodologies for the valuation and risk measurement of European Barrier Options, mainly focusing in the revision of numerical methods. The results obtained corroborate that the Monte Carlo Simulations as a valuation methodology for path-dependentoptions satisfactorily converge on the analytical formulation. The best-fit results are obtained when applying the Variance Control Method of AntitheticVariables. |
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