Valoración de Opciones Call Asiáticas Promedio Aritmético usando Taylor Estocástico 1.5. (Evaluation of Call Options Asian Average Arithmetic using Taylor Stochastic 1.5)

28 Pages Posted: 10 Jul 2019

See all articles by Susana Alvarez

Susana Alvarez

University of Murcia - Department of Quantitative Economic Methods

J. Samuel Baixauli

affiliation not provided to SSRN

Girón Luis Eduardo

Pontifical University Javeriana Cali

Date Written: June 20, 2019

Abstract

Spanish Abstract: En el presente trabajo se valora una opción call estándar y una opción call asiática promedio aritmético europea estrike fijo, usando por primera vez el método numérico estocástico de Taylor 1.5. Los resultados obtenidos se comparan con los métodos numéricos estocásticos de Euler-Maruyama y Milstein. Para ello se simulan 10.000 trayectorias con particiones de 2−12 y se hace uso de la medida de riesgo neutral. Los resultados obtenidos con Taylor 1.5 frente a los métodos de Euler- Maruyama y Milstein son prácticamente los mismos, presentando un mayor costo computacional por su estructura el método de Taylor estocástico 1.5, seguido por Milstein y Euler-Maruyama.

English Abstract: In this paper, a standard call option and a fixed arithmetic European average arithmetic call option are evaluated, using a stochastic numerical method of Taylor 1.5. The results obtained are compared with Euler-Maruyama's and Milstein's stochastic numerical methods. To this end, 10,000 trajectories with partitions of 2−12 are simulated and the neutral risk measure is used. The results obtained with Taylor 1.5 compared to these of Euler-Maruyama and Milstein are pretty much the same, even though Taylor 1.5 has a higher computational cost due to its structure.

Note: Downloadable document is in Spanish.

Keywords: Promedio Aritmético, Econometria, Estocástico, average arithmetic, econometrics, stochastic

JEL Classification: C1, C5

Suggested Citation

Alvarez, Susana and Baixauli, J. Samuel and Giron, Luis, Valoración de Opciones Call Asiáticas Promedio Aritmético usando Taylor Estocástico 1.5. (Evaluation of Call Options Asian Average Arithmetic using Taylor Stochastic 1.5) (June 20, 2019). Available at SSRN: https://ssrn.com/abstract=3417155 or http://dx.doi.org/10.2139/ssrn.3417155

Susana Alvarez (Contact Author)

University of Murcia - Department of Quantitative Economic Methods

United States

J. Samuel Baixauli

affiliation not provided to SSRN ( email )

Luis Giron

Pontifical University Javeriana Cali ( email )

Calle 18 No. 118-250 Cali, Colombia
Cali, Valle del Cauca
Colombia
(+57-2) 321-82-00 (Phone)

HOME PAGE: http://www.javerianacali.edu.co/

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