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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.24 No.1
- 발행연도
- 2020.3
- 수록면
- 79 - 84 (6page)
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초록· 키워드
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In this article, we implement a recently developed fast Monte Carlo simulation (MCS) for pricing equity-linked securities (ELS), which is most commonly issued autocallable structured financial derivative in South Korea, on the mobile platform. The fast MCS is based on Brownian bridge technique. Although mobile platform devices are easy to carry around, mobile platform devices are slow in computation compared to desktop computers. Therefore, it is essential to use a fast algorithm for pricing ELS on the mobile platform. The computational results demonstrate the practicability of Android application implementation for pricing ELS.
목차
ABSTRACT
1. INTRODUCTION
2. FAST MONTE CARLO SIMULATION
3. NUMERICAL RESULTS AND CONCLUSION
REFERENCES
참고문헌 (14)
참고문헌 신청
K Gai / 2018 / A survey on FinTech / J. Netw. Comput. Appl 103:262~273
김준석 / 2010 / AN OPERATOR SPLITTING METHOD FOR PRICING THE ELS OPTION / Journal of the Korean Society for Industrial and Applied Mathematics 14(3):175~187
D. Jeong / 2013 / A comparison study of ADI and operator splitting methods on option pricing models / J. Comput. Appl. Math 247:162~171
정다래 / 2013 / AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK–SCHOLES MODEL / Journal of the Korean Society for Industrial and Applied Mathematics 17(4):295~306
P. P. Boyle / 1977 / Options : A Monte Carlo approach / J. financ. econ 4:323~338
김준석 / 2010 / AN OPERATOR SPLITTING METHOD FOR PRICING THE ELS OPTION / Journal of the Korean Society for Industrial and Applied Mathematics 14(3):175~187
D. Jeong / 2013 / A comparison study of ADI and operator splitting methods on option pricing models / J. Comput. Appl. Math 247:162~171
정다래 / 2013 / AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK–SCHOLES MODEL / Journal of the Korean Society for Industrial and Applied Mathematics 17(4):295~306
P. P. Boyle / 1977 / Options : A Monte Carlo approach / J. financ. econ 4:323~338
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UCI(KEPA) : I410-ECN-0101-2020-410-000515120