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Please use this identifier to cite or link to this item: http://hdl.handle.net/1813/5451
Title: An Object-Oriented Framework For Valuing Shout Options on High-Performance Computer Architectures
Authors: Windcliff, H.
Vetzal, K. R.
Forsyth, P. A.
Verma, A.
Coleman, T. F.
Keywords: theory center
Issue Date: 23-Jan-2003
Publisher: Cornell University
Citation: http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.tc/2003-277
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.
URI: http://hdl.handle.net/1813/5451
Appears in Collections:Cornell Theory Center Technical Reports

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