There are no files associated with this item.
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.citation.endPage | 661 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 647 | - |
dc.citation.title | QUANTITATIVE FINANCE | - |
dc.citation.volume | 19 | - |
dc.contributor.author | Kim, Kyoung-Kuk | - |
dc.contributor.author | Lim, Dong-Young | - |
dc.date.accessioned | 2023-12-21T19:12:18Z | - |
dc.date.available | 2023-12-21T19:12:18Z | - |
dc.date.created | 2022-08-18 | - |
dc.date.issued | 2019-04 | - |
dc.description.abstract | This paper discusses the problem of valuation and risk management of structured products, which have been popular in recent financial markets. We propose a recursive method based on static replication for a variety of structured products, and, in particular, focus on products with autocallable and barrier features under a general Markovian diffusion with killing. The core idea of the proposed algorithm is to recursively utilize the strike-spread approach and calendar-spread approach in the literature. To increase computational and practical feasibilities, we devise discrete static hedges and their convergence is analysed. Numerical experiments are conducted to confirm the effectiveness of our proposal and to show its highly accurate pricing and hedging performance. | - |
dc.identifier.bibliographicCitation | QUANTITATIVE FINANCE, v.19, no.4, pp.647 - 661 | - |
dc.identifier.doi | 10.1080/14697688.2018.1523546 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.scopusid | 2-s2.0-85057331934 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/59096 | - |
dc.identifier.wosid | 000463062900007 | - |
dc.language | 영어 | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | A recursive method for static replication of autocallable structured products | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods | - |
dc.relation.journalResearchArea | Business & Economics; Mathematics; Mathematical Methods In Social Sciences | - |
dc.type.docType | Article | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | Options replication | - |
dc.subject.keywordAuthor | Derivative pricing | - |
dc.subject.keywordAuthor | Autocallable products | - |
dc.subject.keywordAuthor | Reverse convertibles | - |
Items in Repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Tel : 052-217-1404 / Email : scholarworks@unist.ac.kr
Copyright (c) 2023 by UNIST LIBRARY. All rights reserved.
ScholarWorks@UNIST was established as an OAK Project for the National Library of Korea.