A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes

V. G. Filev, P. Neykov and G. S. Vasilev

Papers from arXiv.org

Abstract: We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries, present in the literature. We extend these studies to the case of time-dependent parameters. We compare numerically the semi-analytic approach and the day to day Monte Carlo approach and conclude that the semi-analytic approach is more advantageous for high precision valuation.

Date: 2016-08
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1608.05378 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1608.05378

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().