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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2021.11
- 수록면
- 329 - 341 (13page)
- DOI
- https://doi.org/10.7468/jksmeb.2021.28.4.329
이용수
초록· 키워드
오류제보하기
In this study, we consider an efficient and accurate finite difference method for the four underlying asset equity-linked securities (ELS). The numerical method is based on the operator splitting method with non-uniform grids for the underlying assets. Even though the numerical scheme is implicit, we solve the system of discrete equations in explicit manner using the Thomas algorithm for the tri-diagonal matrix resulting from the system of discrete equations. Therefore, we can use a relatively large time step and the computation of the ELS option pricing is fast. We perform characteristic computational test. The numerical test confirm the usefulness of the proposed method for pricing the four underlying asset equity-linked securities.
목차
등록된 정보가 없습니다.
참고문헌 (23)
참고문헌 신청
W. Chen / 2020 / A 2nd-order ADI nite difference method for a 2D fractional BlackScholes equation governing European two asset option pricing / Math. Comput. Simul 171:279~293
R. Cont / 2005 / A nite difference scheme for option pricing in jump diffusion and exponential Lvy models / SIAM J. Numer. Anal 43(4):1596~1626
D.J. Duffy / 2013 / Finite difference methods in nancial engineering: a partial differential equation approach / John Wiley and Sons
B. Dring / 2014 / High-order compact nite difference schemes for option pricing in stochastic volatility models on non-uniform grids / J. Comput. Appl. Math 271:247~266
P. Glasserman / 2013 / Monte Carlo methods in nancial engineering / Springer Science and Business Media
R. Cont / 2005 / A nite difference scheme for option pricing in jump diffusion and exponential Lvy models / SIAM J. Numer. Anal 43(4):1596~1626
D.J. Duffy / 2013 / Finite difference methods in nancial engineering: a partial differential equation approach / John Wiley and Sons
B. Dring / 2014 / High-order compact nite difference schemes for option pricing in stochastic volatility models on non-uniform grids / J. Comput. Appl. Math 271:247~266
P. Glasserman / 2013 / Monte Carlo methods in nancial engineering / Springer Science and Business Media
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