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Keywords: Numerical 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
... of existing models. The results of the proposed model show notable improvements in terms of accuracy and calculation time. GyeHong Kim can be contacted at: weareda@juroinstruments.com Numerical integration Hitting time distribution Knock-in Monte Carlo Integration Stepdown ELS Equity...
