Fast Monte Carlo simulation for pricing equity-linked securities
Hanbyeol Jang, Sangkwon Kim, Junhee Han, Seongjin Lee, Jungyup Ban, Hyunsoo Han, Chaeyoung Lee, Darae Jeong, Junseok Kim
| Year of publication: |
2020
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|---|---|
| Authors: | Jang, Hanbyeol ; Kim, Sangkwon ; Han, Junhee ; Lee, Seongjin ; Ban, Jungyup ; Han, Hyunsoon ; Lee, Chaeyoung ; Jeong, Darae ; Kim, Junseok |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 4, p. 865-882
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| Subject: | Monte Carlo simulation | Equity-linked securities | Option pricing | Brownian bridge | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09947-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012390481