APREÇAMENTO DE OPÇÕES EXÓTICAS: UMA ABORDAGEM PELA SIMULAÇÃO DE MONTE-CARLO / PRICING OF EXOTICS OPTIONS: USING MONTE-CARLO SIMULATION
AUTOR(ES)
PIERRE ALEXANDRE CHARLES BURBAN
DATA DE PUBLICAÇÃO
2008
RESUMO
Financial options are derivatives tools each day more and more used in market and enterprise risk control systems. Depending on the option type used, it doesn`t have an analytical solution for the pricing problem. A Monte-Carlo simulation is a very flexible method, which applied to the pricing problem, allows very-easy new variable implementation and accuracy increase with the number of simulation done. Exotics options have special features and pricing them by this method gives accurate results. Thus, this study explores a pricing solution and applied techniques of quite common exotics options traded on the market. The algorithms developed can be used for pricing real cases.
ASSUNTO(S)
simulacao de monte carlo opcoes exoticas exotics options monte carlo simulation opcao europeia european option
ACESSO AO ARTIGO
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