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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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