AtendimentoFavoritos
Acessar conta
Carrinho0

Meu Carrinho

    Total

    Finalização da Compra
    Buscar
    Methods for Pricing and Hedging Plain Vanilla Barrier Options
    Cód:
    491_9783659362316

    Por: R$ 544,64ou X de

    Comprar
    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, Simpsons 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.
    Veja mais

    Calcule o valor do frete e prazo de entrega para a sua região

    Quem comprou também comprou

    Quem viu também comprou

    Quem viu também viu