Worst Case Pricing of Rainbow Options

We will present a model to compute a lower bound for the price of this option. The model, represented by a non-linear parabolic PDE, is implemented with finite elements in order to demonstrate the results with several derivatives from the European market.

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Year of publication:	2001-10-12
Authors:	Topper, Jürgen
Publisher:	Arthur Andersen Managementberatung GmbH <Eschborn> Universität <Hannover> / Lehrstuhl für Wachstum und Verteilung
Subject:	Option \| Optionspreistheorie \| Optionspreis \| option pricing \| Exotic options

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Introduction
A Pricing Model with Uncertain Correlation
A Worst-Case Pricing Equation
Misspecification
Implementing the Model
A Numerical Approach: The Collocation Finite Element Method
Estimating the Data
Applications of the Model
Capped Calls on Baskets
Options on the Maximum or the Minimum of Two Risky Assets
Two-Asset Barrier Options
Basket Options
Conclusions and Outlook
Bibliography

Persistent link: https://www.econbiz.de/10005840941