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dc.contributor.authorWindcliff, H.en_US
dc.contributor.authorVetzal, K. R.en_US
dc.contributor.authorForsyth, P. A.en_US
dc.contributor.authorVerma, A.en_US
dc.contributor.authorColeman, T. F.en_US
dc.description.abstractA 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.en_US
dc.format.extent450980 bytes
dc.publisherCornell Universityen_US
dc.subjecttheory centeren_US
dc.titleAn Object-Oriented Framework For Valuing Shout Options on High-Performance Computer Architecturesen_US
dc.typetechnical reporten_US

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