컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0526 |
|---|---|
| 분류(Section) | Poster Session |
| 분과(Session) | Probability / Stochastic Process / Statistics (SS-12) |
| 영문제목 (Title(Eng.)) |
[CANCELLED] Valuation of American option under variance gamma process |
| 저자(Author(s)) |
Ferry J. Permana1, Dharma Lesmono1, Erwinna Chendra1 Department of Mathematics, Parahyangan Catholic University1 |
| 초록본문(Abstract) | Studies on assets traded in Indonesia market show that modeling asset’s log return by using the Variance Gamma (VG) process can perform better than the lognormal distribution, i.e. Geometric Brownian Motion (GBM) model, especially to capture the excess kurtosis exhibited by empirical data. However, valuation of derivatives, e.g. options, and the risk measures model, e.g. Value-at-Risk, under the VG process have not been well-developed as the GBM model. In our previous paper, we proposed a new model to valuation of the European plain vanilla option by taking the advantage of conditional distribution of the VG process. Here, we adopt a path simulation model proposed by Tiley (1993) to develop a method to valuation of the American plain vanilla option. We generate a number of paths by the Monte Carlo Simulation and sort them according to the prices. Since simulation paths will leads a multinomial tree, we partition off the re-ordered prices into a number of bundles. To decide whether the option is exercised or not, we compare the holding value to the intrinsic value. The method is illustrated through a number of numerical examples. |
| 분류기호 (MSC number(s)) |
65C99 |
| 키워드(Keyword(s)) | variance gamma process, valuation of option, American plain vanilla option, Monte Carlo simulation |
| 강연 형태 (Language of Session (Talk)) |
English |