Valuation of step-down knock-in in one stock linked security using numerical and Monte Carlo integration
– This paper shows a new methodology for evaluating the value and sensitivity of autocall knock-in type equity-linked securities. While the existing evaluation methods, Monte Carlo simulation and finite difference method, have limitations in underestimating the knock-in effect, which is one of the...
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2023-03-01
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| Series: | Seonmul yeongu |
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| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-06-2022-0016/full/pdf |