- Volume 21 Issue 3
DOI QR Code
MOBILE PLATFORM FOR PRICING OF EQUITY-LINKED SECURITIES
- JIAN, WANG (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
- BAN, JUNGYUP (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
- HAN, JUNHEE (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
- LEE, SEONGJIN (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
- JEONG, DARAE (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY)
- Received : 2017.09.04
- Accepted : 2017.09.18
- Published : 2017.09.25
In this paper, we develop a mobile platform for pricing equity linked securities(ELS) using Monte Carlo simulation. Mobile phone or smartphone is an important part of most people's lives and has become an everyday item at the present day. Moreover, importance of technologies for anytime and anywhere is increasing daily. Thus, we construct a mobile computing environment for pricing ELS instead of desktops or laptop computers. We provide a detailed Java programming code and a process manual to easily follow up all processes of this paper.
- The Mobile Economy (2017), Groupe Speciale Mobile Association(GSMA)
- Present status of members of wireless communication in June (2017), Ministry of Science and ICT, Korea
- Goole store
- D.Y. Tangman, A. Gopaul, and M. Bhuruth, Numerical pricing of options using high-order compact finite difference schemes, Journal of Computational and Applied Mathematics, 218 (2008) 270-280. https://doi.org/10.1016/j.cam.2007.01.035
- D.J. Duffy, Finite Difference methods in financial engineering: a Partial Differential Equation approach, John Wiley & Sons, 2013.
- R. Cont and E. Voltchkova, A finite difference scheme for option pricing in jump diffusion and exponential Levy models, SIAM Journal on Numerical Analysis, 43 (2005) 1596-1626. https://doi.org/10.1137/S0036142903436186
- N.Meinshausen and B.M. Hambly, Monte Carlo methods for the valuation of multiple exercise options, Mathematical Finance, 14 (2004) 557-583. https://doi.org/10.1111/j.0960-1627.2004.00205.x
- P. Glasserman, Monte Carlo methods in financial engineering, 53 Springer Science & Business Media, 2013.
- Present and prospect of smart finance application services, Magazine of KB knoledge vitamin 2015.5.13 15-37
- No. 21240 Derivative linked security (equity linked security), Mirae asset daewoo securites company
- N.A. Kumar, K.T.H Krishna, and R. Manjula, Challenges and Best Practices in Mobile Application Development, Imperial Journal of Interdisciplinary Research (IJIR), 2 (2016) 1607-1611.
- M. Shiraz, A. Gani, R.H. Khokhar, and R. Buyya, A Review on Distributed Application Processing Frameworks in Smart Mobile Devices for Mobile Cloud Computing, IEEE Communications surveys & Tutorials, 15 (2013) 1294-1313. https://doi.org/10.1109/SURV.2012.111412.00045
- R.C. Heynen and H.M. Kat, Pricing and Hedging Power Options, Financial Engineering and the Japanese Markets, 3 (1996) 253-261. https://doi.org/10.1007/BF02425804
- S. Macovschi and F. Quittard-Pinon, On the Pricing of Power and Other Polynomial Options, Journal of Derivatives, 13 (2006) 61-71. https://doi.org/10.3905/jod.2006.635421
- D.J. Higham, An Introduction to Financial Option Valuation,Cambridge University Press (2004) 187-201.
- H.D. Junghenn, Option Valuation; A First Course in Financial Mathematics, Chapman & Hall/CRC Press (2011) 173-207.
- E.G. Haug, The Complete Guide to Option Pricing Formulas 2ed, McGraw-Hill, 111-201.
- P.G. Zhang, Exotic Options 2ed, World Scientific (1998) 21-48, 111-357.
- D. Jeong, I. Wee, J. Kim, An operator splitting method for pricing the ELS option, Journal of KSIAM, 14 (2010) 175-187.
- J. Jo, Y. Kim, Comparison of numerical schemes on multi-dimensional Black-Scholes equations, Bulletin of the Korean Mathematical Society, 50 (2013) 2035-2051. https://doi.org/10.4134/BKMS.2013.50.6.2035
- D. Jun and H. Ku, Analytic solution for American barrier options with two barriers, Journal of Mathematical Analysis and Applications, 422 (2015) 408-423. https://doi.org/10.1016/j.jmaa.2014.08.047
- R. Zvan, K. Vetzal, and P. Forsyth, PDE methods for pricing barrier options, Journal of Economic Dynamics and Control, 24 (2000) 1563-1590. https://doi.org/10.1016/S0165-1889(00)00002-6
- S. Shreve, Stochastic calculus for finance II: Continuous-time models, Springer Science and Business Media, Pennsylvania (2004) 299-308.
- C. Fries and M. Joshi, Conditional analytic Monte-Carlo pricing scheme of auto-callable products, Available at SSRN (2008).