Algorithm of Calculation of Combined Commodity Options Value

Algorithm of Calculation of Combined Commodity Options Value

General exotic commodity options involving more than one price process are modeled by an ordinary stochastic differential equation and mostly priced by either closed formula if one is derived or via Monte Carlo simulation. In this paper we derive some helpful simplification for general class of exot...

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Veröffentlicht in:Journal of contemporary mathematical analysis 2022-02, Vol.57 (1), p.59-65
Hauptverfasser: Kechejian, H., Ohanyan, V. K., Bardakhchyan, V. G.
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Commodities
Commodity options
Computer simulation
Differential equations
Mathematics
Mathematics and Statistics
Monte Carlo simulation
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Beschreibung
Zusammenfassung:General exotic commodity options involving more than one price process are modeled by an ordinary stochastic differential equation and mostly priced by either closed formula if one is derived or via Monte Carlo simulation. In this paper we derive some helpful simplification for general class of exotic switch options, with more than two commodity products, for less costly Monte Carlo simulation.
ISSN:1068-3623
1934-9416
DOI:10.3103/S1068362322010071