Empirical Test for Pricing of Multi-Stock SPs with Multi-Observation-----------Huaxia Bank Huiying No.1 as an Example
- 10.2991/lemcs-15.2015.67How to use a DOI?
- SPs; Modified Cholesky decomposition; Digital option; Monte Carlo method; Pricing
This paper focuses on the pricing of the multi-stock linked SPs with digital option. “Huiying No. 1 of Huaxia Bank” was characterized by multi-asset linked & multi-observation. To reduce the error, it was priced by means of the modified Cholesky decomposition method and Monte Carlo method. The result demonstrates that the modified Cholesky decomposition increases the accuracy, the pricing process for multi-asset linked SPs with multi-observation is reasonable and the theoretical premium rate of the SPs is 2.74%.
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Siliang Chen AU - Long Peng PY - 2015/07 DA - 2015/07 TI - Empirical Test for Pricing of Multi-Stock SPs with Multi-Observation-----------Huaxia Bank Huiying No.1 as an Example BT - Proceedings of the International Conference on Logistics, Engineering, Management and Computer Science PB - Atlantis Press SP - 346 EP - 352 SN - 1951-6851 UR - https://doi.org/10.2991/lemcs-15.2015.67 DO - 10.2991/lemcs-15.2015.67 ID - Chen2015/07 ER -