Download Parallel Computing Method of Valuing for Multi-Asset

Parallel Computing Method of
Valuing for Multi-Asset European
Option
4th 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
• From the student:
▫ Parallel Computing Method of Valuing for MultiAsset European Option
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
Theory Used by The Articles/Research
From The CRP
• Dichev 1998, Campbell,
Hilscher, and Szilagyi 2006,
Demers and Joos 2006
• Fama and French 1992, 1998
From The Student
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.
Variable Used In The Research
From The CRP
From The Student
• Unlevered pricing multiple
• European Option:
▫ Call option
▫ Put option
• Financial leverage
Method of Analysis
From The CRP
From The Student
• The use of book values to
measure economic leverage
• H–W (HUA Luogeng – WANG
Yuan) method
• The classification of an
operating versus financial
liability
• Measurement of Asset Risk
Research of Analysis/Research
From The CRP
• 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.
From The Student
• 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.
Conclusions
From The CRP
From The Student
• The documented results are
consistent with a set of recent
papers that document crosssectional 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.