An object-oriented framework for valuing shout options on high-performance computer architectures

摘要

A shout option is a financial contract which allows the holder to change the payoff during the lifetime of the contract. Complex versions of these options are embedded in financial products which offer various types of maturity guarantees such as segregated funds marketed by Canadian insurance companies. The value of these options can be determined by solving a collection of coupled partial differential equations. In this work we develop an object-oriented framework for valuing these contracts which is capable of exploiting modern high-performance computer architectures. We use this framework to study practical aspects of valuing and hedging these contracts.