Studio e Progettazione di un sistema di pricing e di gestione del rischio per il prodotto strutturato EAKO – European American Knock-Out option

Abstract

The study describes a framework based on stochastic trees and Monte Carlo methods able to compute price and greeks of a European-American Knock-Out deal (EAKO). EAKOs are contracts traded over-the-counter (OTC) and measuring their fairvalues require advanced mathematical techniques. In the first part of the paper the pay-off of the structured product is explained, in the second part the mathematical models are described and in the last part the techniques are implemented and validated in Matlab environment.

Keywords

• european american knock-out (eako) option
• structured product
• digital gap option
• standard barrier option
• continuous barrier monitoring
• financial engineering
• stochastic trees
• monte carlo method
• numerical computing
• computational finance