FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES

DOI10.12941/JKSIAM.2020.24.079zbMath1458.91227OpenAlexW3104998225MaRDI QIDQ5149909

Junseok Kim, Hanbyeol Jang, Hanrim Kim, Hyundong Kim, Subeom Jo, Seri Lee, Juwon Lee

Publication date: 9 February 2021

Full work available at URL: http://koreascience.or.kr:80/article/JAKO202013261021752.pdf

zbMATH Keywords

option pricingMonte Carlo simulationequity-linked securitiesBrownian bridge technique

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
• A comparison study of ADI and operator splitting methods on option pricing models
• A backward Monte Carlo approach to exotic option pricing
• AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL

This page was built for publication: FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES