Journal of the Korean Society for Industrial and Applied Mathematics

Korean Society for Industrial and Applied Mathematics (한국산업응용수학회)
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FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES

  • JANG, HANBYEOL (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • KIM, HYUNDONG (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • JO, SUBEOM (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
  • KIM, HANRIM (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
  • LEE, SERI (DEPARTMENT OF CONTROL AND INSTRUMENTATION ENGINEERING, KOREA UNIVERSITY) ;
  • LEE, JUWON (DEPARTMENT OF CONTROL AND INSTRUMENTATION ENGINEERING, KOREA UNIVERSITY) ;
  • KIM, JUNSEOK (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY)
  • Received : 2019.12.26
  • Accepted : 2020.03.16
  • Published : 2020.03.25
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Abstract

In this article, we implement a recently developed fast Monte Carlo simulation (MCS) for pricing equity-linked securities (ELS), which is most commonly issued autocallable structured financial derivative in South Korea, on the mobile platform. The fast MCS is based on Brownian bridge technique. Although mobile platform devices are easy to carry around, mobile platform devices are slow in computation compared to desktop computers. Therefore, it is essential to use a fast algorithm for pricing ELS on the mobile platform. The computational results demonstrate the practicability of Android application implementation for pricing ELS.

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References

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