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- Title
ESTIMAÇÃO DO PRÊMIO DE OPÇÕES ASIÁTICAS POR MONTE CARLO E QUASI-MONTE CARLO.
- Authors
Igrejas da Silva, Rafael; Almeida de Assis, Marcio; Figueiredo Pinto, Antonio Carlos; Cabus Klotzle, Marcelo; Lima Gomes, Leonardo
- Abstract
This study is located within the field of numerical methods in finance and its aim is to compare the use of Monte Carlo and Quasi-Monte Carlo stochastic models with Halton Sequences for the pricing of Asian options in a series of ethanol prices in the Brazilian market. Due to the difficulty of pricing Asian options using traditional analytical methods such as Black & Scholes, Monte Carlo and Quasi-Monte Carlo simulation methods are commonly used. The study used a sequence of nominal prices collected on a weekly basis over an 11-year period. The simulations were performed using the Matlab program. The study concluded that the Quasi-Monte Carlo-Halton model produces better results than the Monte Carlo model when the reduction in the variance of the commodity's price series is considered. However, option pricing using both models generates very similar results to those obtained by the Black & Scholes model, despite the divergent opinions found in the literature regarding the use of the Black & Scholes model for the pricing of Asian options.
- Subjects
MATHEMATICAL models of finance; MONTE Carlo method; STOCHASTIC models; OPTIONS sales &; prices (Finance); ETHANOL; PRICES -- Mathematical models; PRICES
- Publication
Revista de Administração FACES Journal, 2012, Vol 11, Issue 4, p52
- ISSN
1517-8900
- Publication type
Article