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| Author | Allende, H.; Elias, C.; Torres, S. | ||||
| Title | Estimation of the option prime: Microsimulation of backward stochastic differential equations | Type | |||
| Year | 2004 | Publication | International Statistical Review | Abbreviated Journal | Int. Stat. Rev. |
| Volume | 72 | Issue | 1 | Pages | 107-121 |
| Keywords | Black-Scholes model; stochastic differential equations; options prime; hedging strategy | ||||
| Abstract | A mathematical statistical model is needed to obtain an option prime and create a hedging strategy. With formulas derived from stochastic differential equations, the primes for US Dollar/Chilean Pesos currency options using a prime calculator are obtained. Furthermore, a backward simulation of the option prime trajectory is used with a numerical method created for backward stochastic differential equations. The use of statistics in finance is highly important in order to develop complex products. | ||||
| Address | Univ Tecn Federico Santa Maria, Dept Informat, Valparaiso, Chile | ||||
| Corporate Author | Thesis | ||||
| Publisher | Int Statistical Inst | Place of Publication | Editor | ||
Language  |
English | Summary Language | Original Title | ||
| Series Editor | Series Title | Abbreviated Series Title | |||
| Series Volume | Series Issue | Edition | |||
| ISSN | 0306-7734 | ISBN | Medium | ||
| Area | Expedition | Conference | |||
| Notes | WOS:000222159200009 | Approved | |||
| Call Number | UAI @ eduardo.moreno @ | Serial | 45 | ||
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