• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제26권4호
• /
• pp.343-352
• /
• 2022

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.

• 한국수학교육학회지시리즈B:순수및응용수학
• /
• 제28권4호
• /
• pp.329-341
• /
• 2021

In this study, we consider an efficient and accurate finite difference method for the four underlying asset equity-linked securities (ELS). The numerical method is based on the operator splitting method with non-uniform grids for the underlying assets. Even though the numerical scheme is implicit, we solve the system of discrete equations in explicit manner using the Thomas algorithm for the tri-diagonal matrix resulting from the system of discrete equations. Therefore, we can use a relatively large time step and the computation of the ELS option pricing is fast. We perform characteristic computational test. The numerical test confirm the usefulness of the proposed method for pricing the four underlying asset equity-linked securities.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제25권3호
• /
• pp.82-92
• /
• 2021

In this study, we present a fast option pricing method for four asset equity-linked securities (ELS) using Brownian bridge. The proposed method is based on Monte Carlo simulation (MCS) and a Brownian bridge approach. Currently, three asset ELS is the most popular ELS among multi-asset ELSs. However, four asset ELS emerged as an alternative to three asset ELS under low interest rate environment to give higher coupon rate to investors. We describe in detail the computational solution algorithm for the four underlying asset step-down ELS. The numerical tests confirm the accuracy and speed of the method.