Sensitivity of mountain range options prices

Krzysztof Echaust , Marcin Bartkowiak

Abstract

Mountain range options are a particular class of multi-asset options for which no closed form formula for valuation exists and Monte Carlo simulation should be used. In this paper, we conducted an analysis of the sensitivity of mountain range options prices to changes in various risk factors, such as correlation coefficients, underlying prices, volatilities, risk-free rate, and time to expiration. We found numbers of non-typical and nonlinear dependencies in options valuation.
Author Krzysztof Echaust (WIiGE / KBO)
Krzysztof Echaust,,
- Department of Operations Research
, Marcin Bartkowiak (WIiGE / KMS)
Marcin Bartkowiak,,
- Department of Applied Mathematics
Journal seriesInternational Journal of Bonds and Derivatives, ISSN 2050-2281, e-ISSN 2050-229X, (0 pkt)
Issue year2016
Vol2
No2
Pages87-107
Publication size in sheets1
Keywords in Englishmountain range options, sensitivity, structured products, Altiplano, Atlas, Everest, Himalaya, Kilimanjaro, options prices, multi-asset options, options valuation, Monte Carlo simulation, risk factors, correlation coefficients, underlying prices, volatility; risk-free rate, time to expiration
DOIDOI:10.1504/IJBD.2016.077168
URL http://www.inderscience.com/offer.php?id=77168
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 0.0, 19-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 5.0, 19-12-2019, ArticleFromJournal
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