Pricing Path-dependent Derivative Securities: A New Approach
Tipo de evento: Defesa de Tese de Doutorado
We propose a new method to pricing path-dependent derivatives either in stock markets or fixed income markets. The idea is to produce a time and value discretization of the stochastic process that represents the underlying in conjunction with a novel way to benefit from the Feynman-Kac formula. Namely, we use the Feynman-Kac formula to obtain risk neutral probabilities and not prices.
Our method provides a formula, numerically solved, that deals with continuous time as well as discrete monitoring path-dependent derivatives on diffusions and also Levy processes. It admits parallel computing and avoids "errors over errors". As an exercise, we price a Brazilian Asian type interest rate option, called IDI, discretely (i.e., realistically) updated.
Horário: 10:00 às 13:00
Jack Baczynski - Laboratório Nacional de Computação Científica - firstname.lastname@example.org
José Santiago Fajardo Barbachan
José Valentim Machado Vicente
Juan Bladimiro Rodriguez Otazú - LNCC - email@example.com
Marcelo Dutra Fragoso - Laboratório Nacional de Computação Científica - firstname.lastname@example.org
Marcos Garcia Todorov - Laboratório Nacional de Computação Científica - email@example.com
Oswaldo Luiz Valle Costa - Universidade de São Paulo
Yuri Saporito - FGV