Valuación de opciones tipo basket : un modelo de regresión entre activos

• Autores: Mogni, Andrés
• Año de publicación: 2014
• Idioma: inglés
• Tipo de recurso: tesis de maestría
• Colaborador/a o director/a de tesis: Maurette, Manuel; Cortina, Elsa
• Institución: Universidad de San Andrés

Fil: Mogni, Andrés. Universidad de San Andrés. Escuela de Negocios; Argentina.
In this work we study the pricing theory for basket options applying both the Replicating Portfolio and the Martingale Approach methods. Given the dynamics of these kind of options, two estimation methodologies are analyzed: Moment Matching (MM), the technique most used for pricing these contracts, and Monte Carlo Simulation (MC), the standard approach to price most types of derivatives. We develop an alternative method to the usual models for valuing an European option on a basket of stocks with positive weights based on linear regression techniques. Through numerical simulations, we compare the results obtained with the proposed approach and the MM technique using the MC method as a benchmark. We arrive to a conclusion regarding the goodness of the new methodology. When working with two assets, scenarios of higher volatilities and higher positive correlations are the ones where our model can outperform MM. Adding a third asset show us that, when setting a proper selection criterion, our model approximates better on almost 70% times on a sample of 500 simulations.