Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method
DC Field | Value | Language |
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dc.contributor.author | Lee, Chaeyoung | - |
dc.contributor.author | Lyu, Jisang | - |
dc.contributor.author | Park, Eunchae | - |
dc.contributor.author | Lee, Wonjin | - |
dc.contributor.author | Kim, Sangkwon | - |
dc.contributor.author | Jeong, Darae | - |
dc.contributor.author | Kim, Junseok | - |
dc.date.accessioned | 2021-08-31T08:47:23Z | - |
dc.date.available | 2021-08-31T08:47:23Z | - |
dc.date.created | 2021-06-19 | - |
dc.date.issued | 2020-03 | - |
dc.identifier.issn | 2227-7390 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/57470 | - |
dc.description.abstract | In this article, we propose a super-fast computational algorithm for three-asset equity-linked securities (ELS) using the finite difference method (FDM). ELS is a very popular investment product in South Korea. There are one-, two-, and three-asset ELS. The three-asset ELS is the most popular financial product among them. FDM has been used for pricing the one- and two-asset ELS because it is accurate. However, the three-asset ELS is still priced using the Monte Carlo simulation (MCS) due to the curse of dimensionality for FDM. To overcome the limitation of dimension for FDM, we propose a systematic non-uniform grid with an explicit Euler scheme and an optimal implementation of the algorithm. The computational time is less than 6 s. We perform standard ELS option pricing and compare the results from the fast FDM with the ones from MCS. The computational results confirm the superiority and practicality of the proposed algorithm. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | MDPI | - |
dc.subject | BLACK-SCHOLES EQUATION | - |
dc.subject | OPTIONS | - |
dc.title | Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Junseok | - |
dc.identifier.doi | 10.3390/math8030307 | - |
dc.identifier.scopusid | 2-s2.0-85082412826 | - |
dc.identifier.wosid | 000524085900006 | - |
dc.identifier.bibliographicCitation | MATHEMATICS, v.8, no.3 | - |
dc.relation.isPartOf | MATHEMATICS | - |
dc.citation.title | MATHEMATICS | - |
dc.citation.volume | 8 | - |
dc.citation.number | 3 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics | - |
dc.subject.keywordPlus | BLACK-SCHOLES EQUATION | - |
dc.subject.keywordPlus | OPTIONS | - |
dc.subject.keywordAuthor | super-fast computation | - |
dc.subject.keywordAuthor | Equity-linked securities | - |
dc.subject.keywordAuthor | Black-Scholes equations | - |
dc.subject.keywordAuthor | finite difference method | - |
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