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Evaluation Numérique des Options Parisiennes

Author

Listed:
  • Olivier Le Courtois

    (EM - EMLyon Business School)

  • François Quittard-Pinon

Abstract

Dans cet article nous proposons une étude numérique comparative des options parisiennes. Introduisant une nouvelle technique d'évaluation par transformée de Laplace inverse, nous montrons que les prix de ces options ainsi que les valeurs de leurs Grecs peuvent être obtenus de façon quasi instantanée, alors que des méthodes plus classiques (Monte-Carlo, EDP) requièrent des temps de calcul prohibitifs pour qui souhaite un degré de précision minimal.

Suggested Citation

  • Olivier Le Courtois & François Quittard-Pinon, 2004. "Evaluation Numérique des Options Parisiennes," Post-Print hal-02312848, HAL.
    • Handle: RePEc:hal:journl:hal-02312848
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