Mathematical and Statistical Methods for Actuarial Sciences and Finance

304 J. Roy Sheehan K.P.: Capitalization and the Bank Insurance Fund. Federal Deposit Insurance Corporation (1998) ...

A Monte Carlo approach to value exchange options using a single stochastic factor Giovanni Villani Abstract.This article describ ...

306 G. Villani The most relevant models that value exchange options are given in Margrabe [7], McDonald and Siegel [8], Carr [5, ...

A Monte Carlo approach to value exchange options using a single stochastic factor 307 N(d)is the cumulative standard normal dis ...

308 G. Villani are two Brownian motions under the risk-neutral probability measure ∼ QandZ′is a Brownian motion under ∼ Qindepen ...

A Monte Carlo approach to value exchange options using a single stochastic factor 309 a SEEOs(V,D,τ)whose time to maturity isτ=T ...

310 G. Villani Carr [5,6], the payoff of PAEO can be replicated by a portfolio containing two SEEOs and one CEEO. Hence, the val ...

A Monte Carlo approach to value exchange options using a single stochastic factor 311 wheregs(PT/ 2 )=(PT/ 2 − 1 )ifPT/ 2 ≥ P 2 ...

312 G. Villani Ta b le 2 .Simulation prices of Compound European Exchange Option (CEEO) V 0 D 0 CEEO (true) CEEO (sim) σˆn^2 εn ...

A Monte Carlo approach to value exchange options using a single stochastic factor 313 We can conclude that efficiency Effav =σˆ ...

314 G. Villani [0. 90 ,1] and so the sample size is about 440 000. We can observe that this stratified sample can account for an ...