FAST PRICING OF FOUR ASSET EQUITY-LINKED SECURITIES USING BROWNIAN BRIDGE

被引：1

作者：

Yoo, Changwoo ^{[1
]}

Choi, Yongho ^{[2
]}

Kim, Sangkwon ^{[3
]}

Kwak, Soobin ^{[3
]}

Hwang, Youngjin ^{[3
]}

Kim, Junseok ^{[3
]}

机构：

[1] Korea Univ, Dept Financial Engn, Seoul 02841, South Korea

[2] Daegu Univ, Dept Math & Big Data, Gyongsan 38453, Gyeongsangbuk D, South Korea

[3] Korea Univ, Dept Math, Seoul 02841, South Korea

来源：

JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS | 2021年 / 25卷 / 03期

关键词：

Brownian bridge technique; MCS; ELS; MONTE-CARLO-SIMULATION;

D O I：

10.12941/jksiam.2021.25.082

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this study, we present a fast option pricing method for four asset equity-linked securities (ELS) using Brownian bridge. The proposed method is based on Monte Carlo simulation (MCS) and a Brownian bridge approach. Currently, three asset ELS is the most popular ELS among multi-asset ELSs. However, four asset ELS emerged as an alternative to three asset ELS under low interest rate environment to give higher coupon rate to investors. We describe in detail the computational solution algorithm for the four underlying asset step-down ELS. The numerical tests confirm the accuracy and speed of the method.

引用

页码：82 / 92

页数：11

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