A stochastic local volatility technique for TARN options

被引：2
|
作者：
Arregui, Inigo [1 ,2 ]
Rafales, Jonatan [1 ]
机构：
[1] Univ A Coruna, Dept Matemat, Campus Elvina, La Coruna 15071, Spain
[2] CITIC, Campus Elvina, La Coruna 15071, Spain
来源：
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2020年 / 97卷 / 05期
关键词：
Option pricing; TARN; stochastic local volatility; partial differential equations model; alternating directions scheme; VALUATION;
D O I：
10.1080/00207160.2019.1608357
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Target Accumulation Redemption Notes (TARN) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this work, we solve a partial differential equations model for TARNs by a finite difference alternating directions method. We combine the numerical resolution with a stochastic local volatility technique and show the numerical results for a particular problem.
引用
收藏
页码：1133 / 1149
页数：17
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