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Parallel Computing Method of Valuing for Multi-Asset European Option

Parallel Computing Method of Valuing for Multi-Asset European Option. 4 th class of Seminar in Finance Management By: Caroline Eva Mursito / 16943. The Articles. From the CRP-Course Reading Package: Discussion of The Book-to-Price Effect in Stock Returns: Accounting for Leverage

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Parallel Computing Method of Valuing for Multi-Asset European Option

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  1. Parallel Computing Method of Valuing for Multi-Asset European Option 4th class of Seminar in Finance Management By: Caroline Eva Mursito / 16943

  2. The Articles • From the CRP-Course Reading Package: • Discussion of The Book-to-Price Effect in Stock Returns: Accounting for Leverage • From the student: • Parallel Computing Method of Valuing for Multi-Asset European Option

  3. The Reasons • The reasons why choose ‘Parallel Computing Method of Valuing for Multi Asset European Option’ because: • To know deeper about the European option • To know the value of European call option and put option

  4. Theory Used by The Articles/Research From The CRP From The Student • Dichev 1998, Campbell, Hilscher, and Szilagyi 2006, Demers and Joos2006 • Famaand French 1992, 1998

  5. Hypothesis of The Articles/Research From The CRP From The Student • Financial leverage has a negative relation with future returns after controlling for the firm’s asset risk. • The benefit and the risk of derivatives tools are not only influenced by the self relationship between demands and services, but also rely on the balance of demand and serve of underlying asset.

  6. Variable Used In The Research From The CRP From The Student • Unlevered pricing multiple • Financial leverage • European Option: • Call option • Put option

  7. Method of Analysis From The CRP From The Student • The use of book values to measure economic leverage • The classification of an operating versus financial liability • Measurement of Asset Risk • H–W (HUA Luogeng – WANG Yuan) method

  8. Research of Analysis/Research From The CRP From The Student • Conditional on operating risk, returns are decreasing in financial leverage. • The ratio unlevered pricing multiple is positively related to future returns. • The value premium associated with unlevered pricing multiple is increasing in leverage; this pattern is consistent with the evidence in Griffin and Lemmon that the book-to-market effect is increasing in the probability of bankruptcy. • The magnitude of the authors’ leverage-return relation is negatively related to future returns is strongest (weakest) among low (high) unlevered pricing multiple deciles, this pattern is also consistent with the evidence found in griffin and Lemmon. • H-W method: • Consistent distributed points set to estimate the value of European option of several underlying assets, and obtain satisfied result, with advanced algorithm and short computing time.

  9. Conclusions From The CRP From The Student • The documented results are consistent with a set of recent papers that document cross-sectional variation in the predictive ability of financial distress, leverage, and the book-to-market ratios. • When the number of assets, which is relied on by European option, is very large, such as tens or hundreds, and if we need to get a precise result, the number of execution and the number of sample N are large.

  10. THANK YOU

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