A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate
Year of publication: |
2024
|
---|---|
Authors: | Kim, Sangkwon ; Lyu, Jisang ; Lee, Wonjin ; Park, Eunchae ; Jang, Hanbyeol ; Lee, Chaeyoung ; Kim, Junseok |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 5, p. 2069-2086
|
Subject: | Fast Monte Carlo method | Time-dependent volatility | Time-dependent interest rate | Brownian bridge | Black–Scholes equation |
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