Incertidumbre en la volatilidaduna aplicación a la valoración de opciones con barrera

  1. Marabel Romo, Jacinto
  2. Crespo Espert, José Luis
Revista:
Anales del Instituto de Actuarios Españoles

ISSN: 0534-3232

Año de publicación: 2010

Número: 16

Páginas: 161-186

Tipo: Artículo

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Otras publicaciones en: Anales del Instituto de Actuarios Españoles

Resumen

Some barrier options, such as the down-and-out puts, exhibit a gamma that changes sign. In this article we price this kind of options assuming that there is uncertainty regarding volatility but it is assumed to lie within a certain range. We present the partial differential equation corresponding to the derivative and solve it numerically using the finite difference method. The results show that barrier option prices are quite sensitive to the existence of uncertainty about volatility. We also show that the prices obtained using the uncertain volatility model are consistent with the prices generated under a stochastic volatility framework.

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