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Pricing and analysis of the structure of barrier options based on geometric brownian Monte Carlo simulation
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Resumo(s)
The objective of this work is to analyze the pricing behavior of barrier options considering
different scenarios. The pricing structure is done considering that the underlying follows
a geometric Brownian motion, while the simulations are based on the construction of
possible underlying trajectories through Monte Carlo Simulation. The interest and focus
of this work are to expose the big difference between the payoffs of vanilla and exotic
options even when based on one of the most popular and simple exotic options traded in
the market.
Descrição
Palavras-chave
Exotic options Monte Carlo simulation Brownian motion Pricing