Mean percentage of returns for stock market linked savings accounts

DOI10.1016/J.AMC.2015.09.049zbMath1410.91494OpenAlexW2179133743MaRDI QIDQ668589

Xuerong Mao, Ling Feng, Zhi-Gang Huang

Publication date: 19 March 2019

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

Full work available at URL: https://strathprints.strath.ac.uk/54320/

zbMATH Keywords

stochastic differential equationsMonte Carlo simulationEuler-Maruyama schemerandom payoffFTSE 100 indexstock market linked savings accounts

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Uses Software

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A Theory of the Term Structure of Interest Rates
• Complete Models with Stochastic Volatility
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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