快速android实现的蒙特卡罗模拟定价与股票挂钩的证券

IF 0.3 Q4 MATHEMATICS, APPLIED

Journal of the Korean Society for Industrial and Applied Mathematics Pub Date : 2020-01-01 DOI:10.12941/JKSIAM.2020.24.079

Hanbyeol Jang, Hyundong Kim, Subeom Jo, Hanrim Kim, Seri Lee, Juwon Lee, Junseok Kim

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引用次数: 1

摘要

在本文中，我们在移动平台上实现了最近开发的快速蒙特卡罗模拟(MCS)，用于为股票关联证券(ELS)定价，ELS是韩国最常见的可自动赎回的结构化金融衍生品。基于布朗桥技术的快速MCS。尽管移动平台设备便于携带，但与台式计算机相比，移动平台设备的计算速度较慢。因此，在移动平台上使用一种快速的ELS定价算法至关重要。计算结果证明了Android应用程序实现ELS定价的实用性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES

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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来源期刊

Journal of the Korean Society for Industrial and Applied Mathematics MATHEMATICS, APPLIED-

自引率

33.30%

发文量