Journal of the Korean Society for Industrial and Applied Mathematics

  • 제26권4호
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  • Pages.343-352
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  • 2022
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  • 1226-9433(pISSN)
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  • 1229-0645(eISSN)
한국산업응용수학회 (Korean Society for Industrial and Applied Mathematics)
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MOBILE APP FOR COMPUTING OPTION PRICE OF THE FOUR-UNDERLYING ASSET STEP-DOWN ELS

  • JUNSEOK, KIM (DEPARTMENT OF MATHEMATICS, KOREA UNIVERSITY) ;
  • DAEUN, JEONG (DEPARTMENT OF MATHEMATICS, GANGNEUNG-WONJU NATIONAL UNIVERSITY) ;
  • HANBYEOL, JANG (DEPARTMENT OF FINANCIAL ENGINEERING, KOREA UNIVERSITY) ;
  • HYUNDONG, KIM (DEPARTMENT OF MATHEMATICS, GANGNEUNG-WONJU NATIONAL UNIVERSITY)
  • 투고 : 2022.11.21
  • 심사 : 2022.12.14
  • 발행 : 2022.12.25
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초록

We present the user-friendly graphical user interface design and implementation of Monte Carlo simulation (MCS) for computing option price of the four-underlying asset step-down equity linked securities (ELS) using the Android platform. The ELS has been one of the most important and influential financial products in South Korea. Most ELS products are based on one-, two-, and three-underlying assets. However, currently there is a demand for higher coupon payment from ELS products because of the increased interest rate in financial market. In order to allow the investors to have higher coupon payment, it is necessary to design a multi-asset ELS such as four-asset step-down ELS. We conduct the computational experiments to demonstrate the performance of the Android platform for pricing four-asset step-down ELS. Furthermore, we perform a comparison test with a three-asset step-down ELS.

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과제정보

The first author (J.S. Kim) was supported by the Brain Korea 21 FOUR through the National Research Foundation of Korea funded by the Ministry of Education of Korea. The corresponding author (H. Kim) was supported by the Research Institute of Natural Science of Gangneung-Wonju National University.

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