Empirical Test for Pricing of Multi-Stock SPs with Multi-Observation-----------Huaxia Bank Huiying No.1 as an Example

DOI

10.2991/lemcs-15.2015.67How to use a DOI?

Keywords

SPs; Modified Cholesky decomposition; Digital option; Monte Carlo method; Pricing

Abstract

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%.

Copyright

© 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/).

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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  -