Fast Monte Carlo Simulation for Pricing Equity-Linked Securities

Jang, H; Kim, S; Han, J; Lee, S; Ban, J; Han, H; Lee, C; Jeong, D; Kim, J

Kim, J (reprint author), Korea Univ, Dept Math, Seoul 02841, South Korea.

COMPUTATIONAL ECONOMICS, 0; ():

Abstract

In this paper, we present a fast Monte Carlo simulation (MCS) algorithm for pricing equity-linked securities (ELS). The ELS is one of the most popular......

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