کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4634289 1340690 2007 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing the equity-linked and principal-protected securities with cap and path dependence
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Pricing the equity-linked and principal-protected securities with cap and path dependence
چکیده انگلیسی

It is difficult for the capped and path dependent models to find its closed-form solution. This paper extends the work by Brennan and Schwartz [M.J. Brennan, E.S. Schwartz, The pricing of equity-linked insurance policies with an asset value guarantee, Journal of Financial Economics 3 (1976) 195–213] to develop a model for the capped, equity-linked and principal-protected securities with path dependence, and proposes a closed-form approximation using the 2nd-order Taylor approximation and the method of Vorst [T. Vorst, Prices and hedge ratios of average exchange rate option, International Review of Financial Analysis 1(3) (1992) 179–194] for the valuation of the securities in order to overcome problems of the sum of lognormal distribution. The numerical results indicate that based on Quasi Monte Carlo simulation criterion, in spite of various maturities or various volatility levels, this analytic approximation solution has higher accuracy than the binomial tree model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 194, Issue 2, 15 December 2007, Pages 502–513
نویسندگان
,