Pricing the exotic : path-dependent american options with stochastic barriers

"The use of currency options as an instrument of intervention in the foreign exchange market has been largely unexplored. In this document we develop a pricing strategy that allow us to value and examine the options issued by the Central Bank of Colombia during 1999-2012. The intuition behind t...

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Autores:
Rojas Bernal, Luis Alejandro
Tipo de recurso:
Fecha de publicación:
2018
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/34521
Acceso en línea:
http://hdl.handle.net/1992/34521
Palabra clave:
Banco de la República (Colombia) - Política gubernamental - Investigaciones
Opciones (Finanzas) - Precios - Investigaciones - Colombia
Derivados financieros - Valoración - Investigaciones - Modelos matemáticos
Procesos estocásticos - Investigaciones
mercado financiero - Investigaciones - Colombia
Método de Montecarlo - Investigaciones - Colombia
Economía
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/
Description
Summary:"The use of currency options as an instrument of intervention in the foreign exchange market has been largely unexplored. In this document we develop a pricing strategy that allow us to value and examine the options issued by the Central Bank of Colombia during 1999-2012. The intuition behind this strategy is to approximate the value of an American option through a portfolio of European options with different maturities. The development of this technique is necessary due to the possible bias that standard numerical methods have in the context of these exotic options. The results of our model coincide with the bids and premiums observed during the option's auctions. Additionally, the option's greeks of our model allow us to conjecture about the portfolio channels through which these instruments could be effective." -- Tomado del Formato de Documento de Grado.