Valutazione di opzioni exchange attraverso la simulazione Monte Carlo e stima delle sensitivita'

Giovanni Villani ()

Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia

Abstract: Exchange options give the holder the right to exchange the asset V for the asset D. They present an important role for the evaluation of investment projects which have uncertainty both in the gross value (underlying asset) and in the investment costs (exercise price). In this paper we propose to elaborate some MATLAB algorithms to estimate exchange options with Monte Carlo simulation. Then, through the estimate and analysis of sensitivity, we compare the most important exchange options emphasizing the american sequential exchange option.

Keywords: Exchange Options; Real Options; Monte Carlo Simulation (search for similar items in EconPapers)
Date: 2004-10
New Economics Papers: this item is included in nep-cmp
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