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Print version ISSN 0101-7438
CASTRO, Javier Gutiérrez; BAIDYA, Tara Keshar Nanda and AIUBE, Fernando Antonio Lucena. Métodos de apreçamento de opções americanas e determinação da curva de gatilho através da simulação de Monte Carlo. Pesqui. Oper. [online]. 2008, vol.28, n.3, pp. 473-490. ISSN 0101-7438. http://dx.doi.org/10.1590/S0101-74382008000300005.
Monte Carlo Simulation has become one of the most important tools used in pricing Financial Derivatives. The main reason in that it gives greater flexibility in simulating several kinds of underlying assets and derivatives. In this article, we analyze three algorithms to calculate the value of American options, which is one particular type of financial derivatives. The first two are: that of Ibáñez & Zapatero (2004) and that of Longstaff & Schwartz (2001). The third algorithm is the one we have developed by modifying Ibáñez & Zapatero. Our method gives results which are as good as those of Longstaff & Schwartz, with the additional advantage that it calculates the threshold curve. The threshold curve is very important for defining the optimal timing of investments. The method of Longstaff & Schwartz has a fast computational process to calculate option price, but it doesn't produce a threshold curve.
Keywords : financial derivatives; American put options; Monte Carlo simulation.