An object-oriented framework for valuing shout options on high-performance computer architectures
✍ Scribed by H. Windcliff; K.R. Vetzal; P.A. Forsyth; A. Verma; T.F. Coleman
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 342 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0165-1889
No coin nor oath required. For personal study only.
✦ Synopsis
A shout option is a ÿnancial contract which allows the holder to change the payo during the lifetime of the contract. Complex versions of these options are embedded in ÿnancial products which o er various types of maturity guarantees such as segregated funds marketed by Canadian insurance companies. The value of these options can be determined by solving a collection of coupled partial di erential equations. In this work we develop an object-oriented framework for valuing these contracts which is capable of exploiting modern high-performance computer architectures. We use this framework to study practical aspects of valuing and hedging these contracts.