Pricing short leases and break clauses using simulation methodology
نویسندگان
چکیده
منابع مشابه
Using Simulation for Option Pricing
Monte Carlo simulation is a popular method for pricing financial options and other derivative securities because of the availability of powerful workstations and recent advances in applying the tool. The existence of easy-to-use software makes simulation accessible to many users who would otherwise avoid programming the algorithms necessary to value derivative securities. This paper presents ex...
متن کاملPricing American Options using Simulation
American options are financial contracts that allow exercise at any time until expiration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. Valuation of more involved American option contracts, which include multiple underlying assets or pathdependent payoff, is still to a high degree an uncharted area. Most n...
متن کاملEuropean Options Pricing Using Monte Carlo Simulation
European options can be priced using the analytical solution of the Black-Scholes-Merton differential equation with the appropriate boundary conditions. A different approach and the one commonly used in situations where no analytical solution is available is the Monte Carlo Simulation. We present the results of Monte Carlo simulations for pricing European options and we compare with the analyti...
متن کاملStructured Product Pricing Simulation Using PC Grid
Financial modeling is one application that benefits substantially from Grid's multiprocessing capabilities. Together with the Centre for Financial Engineering, TCG@NUS’s project team worked on identifying suitable applications and enabling them on the TCG@NUS. The first application identified was Structured Product Pricing (SPP) a Monte Carlo-style simulation application which uses the historic...
متن کاملPricing American-style securities using simulation
We develop a simulation algorithm for estimating the prices of American-style securities, i.e., securities with opportunities for early exercise. Our algorithm provides both point estimates and error bounds for the true security price. It generates two estimates, one biased high and one biased low, both asymptotically unbiased and converging to the true price. Combining the two estimators yield...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Property Investment & Finance
سال: 2001
ISSN: 1463-578X
DOI: 10.1108/eum0000000005790