Multi-asset options with different payof functions

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F18%3A43954693" target="_blank" >RIV/49777513:23510/18:43954693 - isvavai.cz</a>

Výsledek na webu

<a href="https://mme2018.fm.vse.cz/" target="_blank" >https://mme2018.fm.vse.cz/</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Multi-asset options with different payof functions

Popis výsledku v původním jazyce

The paper deals with formulation of multi-asset option pricing problems with different payoff functions. Multi-variability is important concept in financial engineering as many non-standard structured products in the market are exposed to multiple source of randomness. Spot prices of underlying asset are assumed to follow geometric Brownian motion with correlation structure. Using traditional approach based on self-financing portfolio and application of Itˆo’s formula to option price we get resulting partial differential equation describing the evolution of option price in space and time. Most payoff functions are assumed to be non-negative convex function over a convex domain depending on underlying asset prices. Some typical examples of them are presented. Within a framework of multi-asset options a pricing of rainbow trend options was presented recently. In general, they are desirable to investors due to their diversification effects over different assets and time. We present the numerical implementation of pricing these options in Mathematica.

Název v anglickém jazyce

Multi-asset options with different payof functions

Popis výsledku anglicky

The paper deals with formulation of multi-asset option pricing problems with different payoff functions. Multi-variability is important concept in financial engineering as many non-standard structured products in the market are exposed to multiple source of randomness. Spot prices of underlying asset are assumed to follow geometric Brownian motion with correlation structure. Using traditional approach based on self-financing portfolio and application of Itˆo’s formula to option price we get resulting partial differential equation describing the evolution of option price in space and time. Most payoff functions are assumed to be non-negative convex function over a convex domain depending on underlying asset prices. Some typical examples of them are presented. Within a framework of multi-asset options a pricing of rainbow trend options was presented recently. In general, they are desirable to investors due to their diversification effects over different assets and time. We present the numerical implementation of pricing these options in Mathematica.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10102 - Applied mathematics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

36-th International Conference Mathematical Methods in Economics, Conference Proceedings

ISBN

978-80-7378-371-6

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

6

Strana od-do

300-305

Název nakladatele

MatfyzPress, Publishing House of the Faculty of Mathematics and Physics Charles University, Prague

Místo vydání

Praha

Místo konání akce

Jindřichův Hradec

Datum konání akce

12. 9. 2018

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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