scholarly journals Currency hedging strategy using barrier options in the colombian market

2020 ◽  
Vol 20 (3) ◽  
pp. 1634
Author(s):  
Mariana Arango-Franco ◽  
Miguel Jiménez-Gómez ◽  
Natalia Acevedo-Prins
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Exchange Rate ◽  
Local Market ◽  
Exotic Options ◽  
Barrier Options ◽  
Hedging Strategy ◽  
Currency Hedging ◽  
Exchange Risk ◽  
Barrier Type

<p><span>One of the main problems for the growth of the Colombian market is the short variety of investment instruments found in the local market. In this way, an exchange rate hedging strategy is proposed using exotic options, specifically, barrier-type options. These types of options are not offered in the Colombian market. Monte Carlo simulation is used to determine the effect that the hedging strategy has on currency risk. From the results, it is concluded that the exchange risk is decreased with the hedging strategy because the 5th and 95th percentiles are lower than in the scenario without hedging. Finally, the code that was used to model the barrier options is explained.</span></p>

Using forward Monte-Carlo simulation for the valuation of American barrier options

2017 ◽  
Vol 264 (1-2) ◽  
pp. 339-366
Author(s):  
Daniel Wei-Chung Miao ◽  
Yung-Hsin Lee ◽  
Jr-Yan Wang
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Barrier Options

THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY

2003 ◽  
Vol 06 (08) ◽  
pp. 839-864 ◽  
Author(s):  
WIM SCHOUTENS ◽  
STIJN SYMENS
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Stochastic Volatility ◽  
Stock Price ◽  
Poisson Approximation ◽  
Exotic Options ◽  
Option Prices ◽  
Compound Poisson Approximation ◽  
Black Scholes ◽  
Cliquet Options

Recently, stock price models based on Lévy processes with stochastic volatility were introduced. The resulting vanilla option prices can be calibrated almost perfectly to empirical prices. Under this model, we will price exotic options, like barrier, lookback and cliquet options, by Monte–Carlo simulation. The sampling of paths is based on a compound Poisson approximation of the Lévy process involved. The precise choice of the terms in the approximation is crucial and investigated in detail. In order to reduce the standard error of the Monte–Carlo simulation, we make use of the technique of control variates. It turns out that there are significant differences with the classical Black–Scholes prices.

scholarly journals Evaluation of options portfolios for exchange rate hedges

2021 ◽  
Vol 21 (1) ◽  
pp. 406
Author(s):  
Miguel Jiménez-Gómez ◽  
Natalia Acevedo-Prins ◽  
Miguel Rojas-López
Keyword(s):  
Exchange Rate ◽  
Wiener Process ◽  
Hedging Strategy ◽  
Hedging Strategies ◽  
Financial Options ◽  
Exchange Risk ◽  
Long Call ◽  
Traditional Strategy

<p><span>In this paper evaluate six exchange rate hedging strategies with financial options from the OTC market in Colombia. Three hedging strategies for importers and three for exporters were raised. The coverage for importers was carried out with the traditional strategy of long call, bull call spread and bull put spread, the last two correspond to options portfolios. the coverage for importers was carried out with the traditional strategy of long put, bear call spread and bear put spread, the last two correspond to options portfolios. to determine the best hedging strategy, the currency price was modeled with a Wiener process and the VaR for the six covered scenarios was calculated and compared with the VaR of the uncovered scenario. The results shown by the six hedging strategies manage to mitigate the exchange risk, but the most efficient strategies are the traditional ones for both importers and exporters.</span></p>

Electron Scattering in Solids

1990 ◽  
Vol 48 (2) ◽  
pp. 4-5
Author(s):  
Ryuichi Shimizu ◽  
Ze-Jun Ding
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Angular Distribution ◽  
Elastic Scattering ◽  
Electron Scattering ◽  
Cross Sections ◽  
Expansion Method ◽  
Electron Excitation ◽  
Partial Wave Expansion ◽  
Backscattered Electrons

Monte Carlo simulation has been becoming most powerful tool to describe the electron scattering in solids, leading to more comprehensive understanding of the complicated mechanism of generation of various types of signals for microbeam analysis.The present paper proposes a practical model for the Monte Carlo simulation of scattering processes of a penetrating electron and the generation of the slow secondaries in solids. The model is based on the combined use of Gryzinski’s inner-shell electron excitation function and the dielectric function for taking into account the valence electron contribution in inelastic scattering processes, while the cross-sections derived by partial wave expansion method are used for describing elastic scattering processes. An improvement of the use of this elastic scattering cross-section can be seen in the success to describe the anisotropy of angular distribution of elastically backscattered electrons from Au in low energy region, shown in Fig.l. Fig.l(a) shows the elastic cross-sections of 600 eV electron for single Au-atom, clearly indicating that the angular distribution is no more smooth as expected from Rutherford scattering formula, but has the socalled lobes appearing at the large scattering angle.

Determination of Stoichiometry of GaAs Component in (Gaas)Ge Epitaxially Grown Thin Films by Electron Microprobe X-Ray Analysis

1990 ◽  
Vol 48 (2) ◽  
pp. 264-265
Author(s):  
D. R. Liu ◽  
S. S. Shinozaki ◽  
R. J. Baird
Keyword(s):  
Thin Film ◽  
Thin Films ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Compound Semiconductors ◽  
Energy Dispersive Analysis ◽  
X Ray ◽  
Metastable Alloys ◽  
Lower Voltage

The epitaxially grown (GaAs)Ge thin film has been arousing much interest because it is one of metastable alloys of III-V compound semiconductors with germanium and a possible candidate in optoelectronic applications. It is important to be able to accurately determine the composition of the film, particularly whether or not the GaAs component is in stoichiometry, but x-ray energy dispersive analysis (EDS) cannot meet this need. The thickness of the film is usually about 0.5-1.5 μm. If Kα peaks are used for quantification, the accelerating voltage must be more than 10 kV in order for these peaks to be excited. Under this voltage, the generation depth of x-ray photons approaches 1 μm, as evidenced by a Monte Carlo simulation and actual x-ray intensity measurement as discussed below. If a lower voltage is used to reduce the generation depth, their L peaks have to be used. But these L peaks actually are merged as one big hump simply because the atomic numbers of these three elements are relatively small and close together, and the EDS energy resolution is limited.

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