JavaScript is disabled for your browser. Some features of this site may not work without it.
An Object-Oriented Framework For Valuing Shout Options on High-Performance Computer Architectures

Author
Windcliff, H.; Vetzal, K. R.; Forsyth, P. A.; Verma, A.; Coleman, T. F.
Abstract
A shout option is a financial contract which allows the holder to change the payoff during the lifetime of the contract. For example, the holder could have the right to set the strike price to the current value of the underlying asset. Complex versions of these options are embedded in financial products which offer various types of maturity guarantees such as segregated funds marketed by Canadian insurance companies. The value of these options can be determined by solving a collection of coupled partial differential equations (PDEs). In this work we develop an extensible, object-oriented framework for valuing these contracts which is capable of exploiting modern, high-performance supercomputing architectures. We use this framework to study and illustrate practical aspects of valuing and hedging these contracts.
Date Issued
2003-01-23Publisher
Cornell University
Subject
theory center
Previously Published As
http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.tc/2003-277
Type
technical report