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- Title
APLICAÇÃO DE TÉCNICA DE REDUÇÃO DE VARIÂNCIA NO PRÊMIO DE OPÇÕES ASIÁTICAS DE ELETRICIDADE POR SIMULAÇÃO DE MONTE CARLO.
- Authors
de Paula Moraes, Luciano; Bastos Maia, Paulo Roberto; Figueiredo Pinto, Antônio Carlos; Cabus Klotzle, Marcelo; Lima Gomes, Leonardo
- Abstract
Financial options are derivatives instruments used in market risk management by companies and investors. Valuing options can be done by either exact formulas or numerical procedures like trees and simulations, when there are no analytic valuations. The purpose of this article is valuing an european asian option where the payoff depends on the arithmetic average price of the underlying asset (commodity electricity and MWh price - submarket southeast), considering different strikes and volatilities. We adopt Antithetic Sampling and Control Variates in order to reduce the variance of our sample and improve the accuracy of an estimate by Monte Carlo Simulation
- Publication
Revista Economia & Gestão, 2016, Vol 16, Issue 43, p33
- ISSN
1984-6606
- Publication type
Article
- DOI
10.5752/p.1984-6606.2016v16n43p33