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http://dx.doi.org/10.12941/jksiam.2020.24.079

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)
Publication Information
Journal of the Korean Society for Industrial and Applied Mathematics / v.24, no.1, 2020 , pp. 79-84 More about this Journal
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.
Keywords
Monte Carlo simulation; Brownian bridge technique; Equity-linked securities; option pricing;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
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