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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.25 No.3
- 발행연도
- 2021.9
- 수록면
- 82 - 92 (11page)
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초록· 키워드
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In this study, we present a fast option pricing method for four asset equity-linked securities (ELS) using Brownian bridge. The proposed method is based on Monte Carlo simulation (MCS) and a Brownian bridge approach. Currently, three asset ELS is the most popular ELS among multi-asset ELSs. However, four asset ELS emerged as an alternative to three asset ELS under low interest rate environment to give higher coupon rate to investors. We describe in detail the computational solution algorithm for the four underlying asset step-down ELS. The numerical tests confirm the accuracy and speed of the method.
목차
ABSTRACT
1. INTRODUCTION
2. FOUR ASSET ELS
3. NUMERICAL METHOD
4. NUMERICAL EXPERIMENT
5. CONCLUSION
REFERENCES
참고문헌 (15)
참고문헌 신청
M. C. Fu / 1995 / Sensitivity analysis for Monte Carlo simulation of option pricing / Prob. Eng. Inf. Sci 9(3):417~446
D. Duffie / 1995 / Efficient Monte Carlo simulation of security prices / Ann. Appl. Probab 5(4):897~905
N. K. Chidambaran / 2003 / Genetic programming with Monte Carlo simulation for option pricing / Proc. Winter Simul. Conf 1:285~292
L. Ballotta / 2014 / Monte Carlo simulation of the CGMY process and option pricing / J. Fut. Mark 34(12):1095~1121
L. A. AbbasTurki / 2014 / Pricing derivatives on graphics processing units using Monte Carlo simulation / Concurr. Comput. Pract. Exper 26(9):1679~1697
D. Duffie / 1995 / Efficient Monte Carlo simulation of security prices / Ann. Appl. Probab 5(4):897~905
N. K. Chidambaran / 2003 / Genetic programming with Monte Carlo simulation for option pricing / Proc. Winter Simul. Conf 1:285~292
L. Ballotta / 2014 / Monte Carlo simulation of the CGMY process and option pricing / J. Fut. Mark 34(12):1095~1121
L. A. AbbasTurki / 2014 / Pricing derivatives on graphics processing units using Monte Carlo simulation / Concurr. Comput. Pract. Exper 26(9):1679~1697
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