Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method

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...

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Bibliographic Details
Main Authors: Chaeyoung Lee, Jisang Lyu, Eunchae Park, Wonjin Lee, Sangkwon Kim, Darae Jeong, Junseok Kim
Format: Article
Language:English
Published: MDPI AG 2020-02-01
Series:Mathematics
Subjects:
super-fast computation
equity-linked securities
black–scholes equations
finite difference method
Online Access:https://www.mdpi.com/2227-7390/8/3/307

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