Journal of the Korean Society for Industrial and Applied Mathematics

  • 제23권3호
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  • Pages.237-251
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  • 2019
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  • 1226-9433(pISSN)
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  • 1229-0645(eISSN)
한국산업응용수학회 (Korean Society for Industrial and Applied Mathematics)
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ANDROID APPLICATION FOR PRICING TWO-AND THREE-ASSET EQUITY-LINKED SECURITIES

  • JANG, HANBYEOL (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
  • HAN, HYUNSOO (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
  • PARK, HAYEON (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
  • LEE, WONJIN (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
  • LYU, JISANG (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • PARK, JINTAE (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • KIM, HYUNDONG (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • LEE, CHAEYOUNG (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • KIM, SANGKWON (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • CHOI, YONGHO (DEPARTMENT OF MATHEMATICS AND BIG DATA, DAEGU UNIVERSITY) ;
  • KIM, JUNSEOK (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY)
  • 투고 : 2019.09.05
  • 심사 : 2019.09.14
  • 발행 : 2019.09.25
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초록

We extend the previous work [J. Korean Soc. Ind. Appl. Math. 21(3) 181] to two-and three-asset equity-linked securities (ELS). In the real finance market, two-or three-asset ELS is more popular than one-asset ELS. Therefore, we need to develop mobile platform for pricing the two-and three-asset ELS. The mobile implementation of the ELS pricing will be very useful in practice.

키워드

참고문헌

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피인용 문헌

  1. FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES vol.24, pp.1, 2019, https://doi.org/10.12941/jksiam.2020.24.079