Pricing the equity-linked and principal-protected securities with cap and path dependence

DOI10.1016/J.AMC.2007.04.115zbMath1193.91151OpenAlexW1991224444MaRDI QIDQ990707

Fen-Ying Chen

Publication date: 1 September 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.04.115

zbMATH Keywords

accuracybinomial tree model2nd-order Taylor approximationcapped and path dependent modelsquasi Monte Carlo simulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Pricing Dynamic Investment Fund Protection
• Dynamic Fund Protection

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