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Keywords: Monte Carlo Integration
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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
... is one of the important characteristics of this type, this paper presents a precise joint probability formula for multiple autocall chances and knock-in events. Based on this, the calculation results obtained by utilizing numerical and Monte Carlo integration are presented and compared with those...
