FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES

DOI10.12941/JKSIAM.2020.24.079MaRDI QIDQ5149909zbMATH OpenOpenAlexFDO

Authors Hanbyeol Jang, Hyundong Kim, Subeom Jo, Hanrim Kim, Seri Lee, Juwon Lee, Junseok Kim

Publication date 9 February 2021

Full work available at URL http://koreascience.or.kr:80/article/JAKO202013261021752.pdf

zbMATH Keywords

option pricingMonte Carlo simulationequity-linked securitiesBrownian bridge technique

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A backward Monte Carlo approach to exotic option pricing
• A comparison study of ADI and operator splitting methods on option pricing models
• An adaptive multigrid technique for option pricing under the Black-Scholes model
• An operator splitting method for pricing the ELS option
• Android application for pricing two-and three-asset equity-linked securities
• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options

Cited in

(3)

• Efficient and accurate finite difference method for the four underlying asset ELS
• Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
• Android application for pricing two-and three-asset equity-linked securities

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