Abstract
We propose a new numerical algorithm for pricing the Equity linked Security which is a financial derivative. Our algorithm utilizes FDM with the Exit-Probability. Through numerical examples, we validate that our algorithm is more accurate than the conventional method.
Keywords
Citation
Kim, Y., Bae, H.-O. and Roh, H. (2011), "FDM Algorithm for Pricing of ELS with Exit-Probability", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 19 No. 4, pp. 427-446. https://doi.org/10.1108/JDQS-04-2011-B0004
Publisher
:Emerald Publishing Limited
Copyright © 2011 Emerald Publishing Limited
License
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode