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Symbolic-Numeric Option Valuation

Mitic, P; (1997) Symbolic-Numeric Option Valuation. In: Keranen, V and Mitic, P and Heitamaki, A, (eds.) Innovation in Mathematics. (pp. pp. 337-344). WIT Press: Southampton, England. Green open access

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Techniques for option valuation, both analytic and numeric, are well-established. Many of them cannot be used if the nature of the option is such that knowledge of the future is a prerequisite for valuation. For example, the value when the option expires may depend on the price of the underlying asset during the lifetime of the option. This paper describes a method of overcoming this problem by manipulating a symbolic parameter in a numeric scheme. This parameter characterises the option price at any stage in its lifetime as a function of the price history of the underlying asset. Certain options may then be valued by symbolic manipulations involving this parameter, such that it is not necessary to know a numerical value for a parameter in advance. This enables a limited amount of 'path-dependency' to be introduced into option valuation when using established numerical techniques, which has hitherto been very difficult or impossible.

Type: Proceedings paper
Title: Symbolic-Numeric Option Valuation
Event: 2nd International Mathematica Symposium
Location: Rovaniemi, Finland
Dates: 29 Jun 1997 - 29 Jun 1997
ISBN-13: 978-1-85312-505-8
Open access status: An open access version is available from UCL Discovery
DOI: 10.2495/IMS970441
Publisher version: https://www.witpress.com/elibrary/wit-transactions...
Language: English
Additional information: This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10163663
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