A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate
Sangkwon Kim, Jisang Lyu, Wonjin Lee, Eunchae Park, Hanbyeol Jang, Chaeyoung Lee, Junseok Kim
| Year of publication: |
2024
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|---|---|
| Authors: | Kim, Sangkwon ; Lyu, Jisang ; Lee, Wonjin ; Park, Eunchae ; Jang, Hanbyeol ; Lee, Chaeyoung ; Kim, Junseok |
| Subject: | Fast Monte Carlo method | Time-dependent volatility | Time-dependent interest rate | Brownian bridge | Black–Scholes equation | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10394-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014550869