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Search: subject:"Autocallable"
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Option pricing theory
8
Optionspreistheorie
8
Stochastic process
4
Stochastischer Prozess
4
Autocallable structured product
3
Black-Scholes model
3
Black-Scholes-Modell
3
Greece
3
Griechenland
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Option trading
3
Optionsgeschäft
3
Barrier options
2
Esscher transform
2
Monte Carlo
2
Simulation
2
autocallable
2
greeks
2
variance reduction
2
Autocallable
1
Autocallable products
1
CAPM
1
Correlation
1
Derivat
1
Derivative
1
Derivative pricing
1
Estimation theory
1
Exit probability
1
Experiment
1
Firm valuation
1
Greeks computation
1
Icicled barrier option
1
Korrelation
1
Kreislaufwirtschaft
1
Monte-Carlo simulation
1
Multivariate Analyse
1
Multivariate analysis
1
Non-exit probability
1
One-step survival
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8
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English
8
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1
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Lee, Hangsuck
3
Ko, Bangwon
2
Lee, Minha
2
Ahn, Soohan
1
FRIES, CHRISTIAN P.
1
Guillaume, Tristan
1
Ha, Hongjun
1
Hu, Xiaobo
1
JOSHI, MARK S.
1
Kim, Kyoung-Kuk
1
Kong, Byungdoo
1
Koster, Frank
1
Lim, Dong-Young
1
Rakhmonov, Firuz
1
Rakhmonov, Parviz
1
Rehmet, Achim
1
Xue, Jungong
1
Yu, Xiandi
1
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Quantitative finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
The North American journal of economics and finance : a journal of theory and practice
1
The journal of computational finance
1
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ECONIS (ZBW)
8
RePEc
1
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1
Valuing three-asset barrier options and
autocallable
products via exit probabilities of Brownian bridge
Lee, Hangsuck
;
Ha, Hongjun
;
Kong, Byungdoo
;
Lee, Minha
- In:
The North American journal of economics and finance : a …
73
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014581012
Saved in:
2
A semi-analytic valuation of two-asset barrier options and
autocallable
products using Brownian bridge
Lee, Hangsuck
;
Lee, Minha
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013449375
Saved in:
3
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model
Hu, Xiaobo
;
Xue, Jungong
;
Yu, Xiandi
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1693-1716
Persistent link: https://www.econbiz.de/10013367941
Saved in:
4
Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and
autocallable
investments
Lee, Hangsuck
;
Ahn, Soohan
;
Ko, Bangwon
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012203169
Saved in:
5
A recursive method for static replication of
autocallable
structured products
Kim, Kyoung-Kuk
;
Lim, Dong-Young
- In:
Quantitative finance
19
(
2019
)
4
,
pp. 647-661
Persistent link: https://www.econbiz.de/10012194703
Saved in:
6
Conditional Monte Carlo scheme for stable greeks of worst-of
autocallable
notes
Rakhmonov, Firuz
;
Rakhmonov, Parviz
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012153309
Saved in:
7
Monte Carlo payoff smoothing for pricing
autocallable
instruments
Koster, Frank
;
Rehmet, Achim
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 59-77
Persistent link: https://www.econbiz.de/10011848407
Saved in:
8
Analytical valuation of
autocallable
notes
Guillaume, Tristan
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
Saved in:
9
PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR
AUTO-CALLABLE
PRODUCTS
FRIES, CHRISTIAN P.
;
JOSHI, MARK S.
- In:
International Journal of Theoretical and Applied …
14
(
2011
)
02
,
pp. 197-219
In this paper, we present a generic method for the Monte-Carlo pricing of (generalized)
auto-callable
products (aka …
Persistent link: https://www.econbiz.de/10008914064
Saved in:
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