کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099600 | 1377018 | 2007 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing of path-dependent American options by Monte Carlo simulation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Pricing of path-dependent American options by Monte Carlo simulation Pricing of path-dependent American options by Monte Carlo simulation](/preview/png/5099600.png)
چکیده انگلیسی
In this paper, we evaluate floating-rate bond options, a variant of path-dependent American options, by Monte Carlo simulation. Assuming that the underlying state variable is Markovian, we show that the price of a floating-rate bond option satisfies a dynamic programming equation. The continuation value in the dynamic programming problem is represented by a conditional expectation. It is shown that the conditional expectation can be transformed to an unconditional expectation, using the Malliavin calculus, which in turn enables us to evaluate the price of the floating-rate bond option by Monte Carlo methods. Some numerical examples are given to demonstrate the usefulness of our method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 11, November 2007, Pages 3478-3502
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 11, November 2007, Pages 3478-3502
نویسندگان
Hajime Fujiwara, Masaaki Kijima,