Pricing writer-extendable call options with Monte Carlo simulation
Writer-extendable option is an exotic option that can either be exercised at its initial maturity time or be extended to a future maturity time. Within the Black-Scholes environment, this study aims to price writer-extendable call options using the Monte Carlo simulation technique and compare the ob...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Malaysia Perlis
2024
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| Online Access: | http://psasir.upm.edu.my/id/eprint/116533/ http://psasir.upm.edu.my/id/eprint/116533/1/116533.pdf |
| _version_ | 1848867027673939968 |
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| author | Wan Omar, Hazimah Ibrahim, Siti Nur Iqmal |
| author_facet | Wan Omar, Hazimah Ibrahim, Siti Nur Iqmal |
| author_sort | Wan Omar, Hazimah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Writer-extendable option is an exotic option that can either be exercised at its initial maturity time or be extended to a future maturity time. Within the Black-Scholes environment, this study aims to price writer-extendable call options using the Monte Carlo simulation technique and compare the obtained prices with the closed-form pricing formula. Numerical examples are provided using the closed-form solutions and the Monte Carlo simulation via Euler scheme, which shows that the prices obtained via the latter are accurate. |
| first_indexed | 2025-11-15T14:29:58Z |
| format | Article |
| id | upm-116533 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T14:29:58Z |
| publishDate | 2024 |
| publisher | Penerbit Universiti Malaysia Perlis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-1165332025-04-10T06:30:49Z http://psasir.upm.edu.my/id/eprint/116533/ Pricing writer-extendable call options with Monte Carlo simulation Wan Omar, Hazimah Ibrahim, Siti Nur Iqmal Writer-extendable option is an exotic option that can either be exercised at its initial maturity time or be extended to a future maturity time. Within the Black-Scholes environment, this study aims to price writer-extendable call options using the Monte Carlo simulation technique and compare the obtained prices with the closed-form pricing formula. Numerical examples are provided using the closed-form solutions and the Monte Carlo simulation via Euler scheme, which shows that the prices obtained via the latter are accurate. Penerbit Universiti Malaysia Perlis 2024-02-14 Article PeerReviewed text en cc_by_nc_sa_4 http://psasir.upm.edu.my/id/eprint/116533/1/116533.pdf Wan Omar, Hazimah and Ibrahim, Siti Nur Iqmal (2024) Pricing writer-extendable call options with Monte Carlo simulation. Applied Mathematics and Computational Intelligence (AMCI), 13 (1). pp. 128-135. ISSN 2289-1315; eISSN: 2289-1323 https://ejournal.unimap.edu.my/index.php/amci/article/view/491 10.58915/amci.v13ino.1.491 |
| spellingShingle | Wan Omar, Hazimah Ibrahim, Siti Nur Iqmal Pricing writer-extendable call options with Monte Carlo simulation |
| title | Pricing writer-extendable call options with Monte Carlo simulation |
| title_full | Pricing writer-extendable call options with Monte Carlo simulation |
| title_fullStr | Pricing writer-extendable call options with Monte Carlo simulation |
| title_full_unstemmed | Pricing writer-extendable call options with Monte Carlo simulation |
| title_short | Pricing writer-extendable call options with Monte Carlo simulation |
| title_sort | pricing writer-extendable call options with monte carlo simulation |
| url | http://psasir.upm.edu.my/id/eprint/116533/ http://psasir.upm.edu.my/id/eprint/116533/ http://psasir.upm.edu.my/id/eprint/116533/ http://psasir.upm.edu.my/id/eprint/116533/1/116533.pdf |