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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.26 No.4
- 발행연도
- 2022.12
- 수록면
- 343 - 352 (10page)
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초록· 키워드
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We present the user-friendly graphical user interface design and implementation of Monte Carlo simulation (MCS) for computing option price of the four-underlying asset stepdown equity linked securities (ELS) using the Android platform. The ELS has been one of the most important and influential financial products in South Korea. Most ELS products are based on one-, two-, and three-underlying assets. However, currently there is a demand for higher coupon payment from ELS products because of the increased interest rate in financial market. In order to allow the investors to have higher coupon payment, it is necessary to design a multiasset ELS such as four-asset step-down ELS. We conduct the computational experiments to demonstrate the performance of the Android platform for pricing four-asset step-down ELS. Furthermore, we perform a comparison test with a three-asset step-down ELS.
목차
ABSTRACT
1. INTRODUCTION
2. NUMERICAL SOLUTION ALGORITHM
3. NUMERICAL EXPERIMENTS
4. CONCLUSION
REFERENCES
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UCI(KEPA) : I410-ECN-0101-2023-410-000318927