Fast Monte Carlo Simulation for Pricing Equity-Linked Securities

In this paper, we present a fast Monte Carlo simulation (MCS) algorithm for pricing equity-linked securities (ELS). The ELS is one of the most popular and complex financial derivatives in South Korea. We consider a step-down ELS with a knock-in barrier. This derivative has several intermediate and f...

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Veröffentlicht in:	Computational economics 2020-12, Vol.56 (4), p.865-882
Hauptverfasser:	Jang, Hanbyeol, Kim, Sangkwon, Han, Junhee, Lee, Seongjin, Ban, Jungyup, Han, Hyunsoo, Lee, Chaeyoung, Jeong, Darae, Kim, Junseok
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Assets Barriers Behavioral/Experimental Economics Brownian motion Computer Appl. in Social and Behavioral Sciences Computer simulation Derivatives Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Math Applications in Computer Science Monte Carlo simulation Operations Research/Decision Theory Pricing Redemption Simulation Stochastic processes
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