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

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  • Giovanni Villani

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.

Suggested Citation

  • Giovanni Villani, 2004. "Valutazione di opzioni exchange attraverso la simulazione Monte Carlo e stima delle sensitivita'," Quaderni DSEMS 10-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    • Handle: RePEc:ufg:qdsems:10-2004
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    File URL: http://www.economia.unifg.it/sites/sd01/files/allegatiparagrafo/30-11-2016/abstractq1004.pdf
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    References listed on IDEAS

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    2. Geske, Robert & Johnson, Herb E, 1984. "The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
    3. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
    4. Giovanni Villani, 2004. "Valutazione di progetti di investimento e-commerce attraverso le opzioni reali," Quaderni DSEMS 06-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    5. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286, July.
    6. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
    7. McDonald, Robert L & Siegel, Daniel R, 1985. "Investment and the Valuation of Firms When There Is an Option to Shut Down," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 331-349, June.
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    Keywords

    Exchange Options; Real Options; Monte Carlo Simulation;
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