scientific article; zbMATH DE number 7673130

DOI10.12941/JKSIAM.2022.26.343MaRDI QIDQ5886729zbMATH OpenFDO

Authors Junseok Kim, Hanbyeol Jang, Hyundong Kim

Publication date 6 April 2023

Full work available at URL https://doi.org/10.12941/JKSIAM.2022.26.343

zbMATH Keywords

equity-linked securitiesmobile platformMonte Carlo simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Android application for pricing two-and three-asset equity-linked securities
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach
• Efficient and accurate finite difference method for the four underlying asset ELS
• Forecasting sales by exponentially weighted moving averages
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 7569345 (Why is no real title available?)
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

Cited in

(1)

• Android application for pricing two-and three-asset equity-linked securities

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