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Keywords: Exit-Probability
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (4): 427–446.
Published: 30 November 2011
...Yongsik Kim; Hyeong-Ohk Bae; Hyunseok Roh We propose a new numerical algorithm for pricing the Equity linked Security which is a financial derivative. Our algorithm utilizes FDM with the Exit-Probability. Through numerical examples, we validate that our algorithm is more accurate than...
