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Keywords: Knock-in
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Journal Articles
Valuation of step-down knock-in in one stock linked security using numerical and Monte Carlo integration
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2023) 31 (1): 76–96.
Published: 21 December 2022
...GyeHong Kim This paper shows a new methodology for evaluating the value and sensitivity of autocall knock-in type equity-linked securities. While the existing evaluation methods, Monte Carlo simulation and finite difference method, have limitations in underestimating the knock-in effect, which...
