지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.21 No.3
- 발행연도
- 2017.9
- 수록면
- 181 - 202 (22page)
이용수
초록· 키워드
오류제보하기
In this paper, we develop a mobile platform for pricing equity linked securities(ELS) using Monte Carlo simulation. Mobile phone or smartphone is an important part of most people’s lives and has become an everyday item at the present day. Moreover, importance of technologies for anytime and anywhere is increasing daily. Thus, we construct a mobile computing environment for pricing ELS instead of desktops or laptop computers. We provide a detailed Java programming code and a process manual to easily follow up all processes of this paper.
목차
ABSTRACT
1. INTRODUCTION
2. EQUITY-LINKED SECURITY
3. NUMERICAL METHODS AND RESULTS
4. STEPWISE PROCEDURE OF MOBILE PLATFORM
5. NUMERICAL AND EMULATOR LAYOUT RESULT
6. CONCLUSION
7. APPENDIX
REFERENCES
참고문헌 (24)
참고문헌 신청
[기타자료] - / 2017 / The Mobile Economy / Groupe Speciale Mobile Association(GSMA)
[보고서] - / 2017 / Present status of members of wireless communication in June
[기타자료] - / / Goole store
[학술지(정기간행물)] - D. Y. Tangman / 2008 / Numerical pricing of options using high-order compact finite difference schemes / Journal of Computational and Applied Mathematics 218 : 270 ~ 280
[단행본] - D.J. Duffy / 2013 / Finite Difference methods in financial engineering: a Partial Differential Equation approach / John Wiley & Sons
[보고서] - / 2017 / Present status of members of wireless communication in June
[기타자료] - / / Goole store
[학술지(정기간행물)] - D. Y. Tangman / 2008 / Numerical pricing of options using high-order compact finite difference schemes / Journal of Computational and Applied Mathematics 218 : 270 ~ 280
[단행본] - D.J. Duffy / 2013 / Finite Difference methods in financial engineering: a Partial Differential Equation approach / John Wiley & Sons
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2020 .03
-
FAST PRICING OF FOUR ASSET EQUITY-LINKED SECURITIES USING BROWNIAN BRIDGE
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2021 .09
-
MOBILE APP FOR COMPUTING OPTION PRICE OF THE FOUR-UNDERLYING ASSET STEP-DOWN ELS
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2022 .12
-
Efficient and Accurate Finite Difference Method for the Four Underlying Asset ELS
순수 및 응용수학
2021 .11
-
Semi closed-form pricing autocallable ELS using Brownian Bridge
CSAM(Communications for Statistical Applications and Methods)
2021 .05
-
Option pricing and profitability: A comprehensive examination of machine learning, Black-Scholes, and Monte Carlo method
CSAM(Communications for Statistical Applications and Methods)
2024 .09
-
A PRICING METHOD OF HYBRID DLS WITH GPGPU
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2016 .12
-
Pricing of Vulnerable Power Exchange Option under the Hybrid Model
East Asian Mathematical Journal
2021 .09
-
A risk analysis of step-down equity-linked securities based on regime-switching copula
CSAM(Communications for Statistical Applications and Methods)
2020 .01
-
COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL
충청수학회지
2016 .01
-
Digital Option Pricing based on Copulas with Stochastic Simulation
순수 및 응용수학
2015 .01
-
PRICING OF TIMER-DIGITAL POWER OPTIONS
East Asian Mathematical Journal
2024 .01
-
Pricing Vulnerable Power Option under a CEV Diffusion
East Asian Mathematical Journal
2021 .09
-
The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
대한수학회지
2020 .01
-
A COMPARISON STUDY OF EXPLICIT AND IMPLICIT NUMERICAL METHODS FOR THE EQUITY-LINKED SECURITIES
호남수학학술지
2015 .01
-
A prepayment-risk-neutral pricing model for mortgage-backed securities
한국수학논문집
2021 .01
-
Evaluation of interest rate-linked DLSs
CSAM(Communications for Statistical Applications and Methods)
2022 .01
-
Option pricing under general geometric Riemannian Brownian motions
대한수학회보
2016 .01
-
Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model
East Asian Mathematical Journal
2021 .01
-
A Probabilistic Approach for Valuing Exchange Option with Default Risk
East Asian Mathematical Journal
2020 .01
이 논문의 저자 정보
최근 본 자료
댓글(0)
0