Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method
In this article, we propose a super-fast computational algorithm for three-asset equity-linked securities (ELS) using the finite difference method (FDM). ELS is a very popular investment product in South Korea. There are one-, two-, and three-asset ELS. The three-asset ELS is the most popular financ...
| Main Authors: | , , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/3/307 |