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Calculs Stochastiques Et Evaluation Des Options by Collectif

Calculs Stochastiques Et Evaluation Des Options

by Collectif
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Book cover type: Paperback
  • ISBN13: 9783841793263
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Omniscriptum
  • Publisher Imprint: Omniscriptum
  • Publication Date:
  • Pages: 76
  • Original Price: GBP 24.0
  • Language: French
  • Edition: N/A
  • Item Weight: 123 grams
  • BISAC Subject(s): General

Plusieurs méthodes et modèles mathématiques ont été développés pour apprécier la juste valeur théorique d'un contrat d'options. Leur utilisation est fonction du type d'option mis en oeuvre. Dans le modèle de Black & Scholes, généralement adopté pour les options européennes, le prix de l'action suit un processus stochastique en temps continu. La méthode des arbres binomiaux ou modèle de Cox-Ross & Rubinstein, est un modèle où le prix de l'action suit un processus stochastique en temps discret. Il est en particulier très utile pour valoriser les options américaines. La méthode Monte-Carlo est une méthode d'approximation, visant à calculer une valeur numérique en utilisant des procédés aléatoires. Elle consiste à générer de nombreuses trajectoires possibles de l'actif sous-jacent, à calculer les valeurs terminales du produit dérivé pour chaque trajectoire, à prendre leur moyenne et à l'actualiser. L'objectif de cette étude consiste à construire différents algorithmes afin de comparer les résultats obtenus par les modèles de Cox-Ross & Rubinstein, de Black & Scholes et de la méthode Monte-Carlo. Les codes des programmes ont été développés en langage C]+.

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