A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes

V. G. Filev; P. Neykov; G. S. Vasilev

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arXiv · 1608.05378

A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes

V. G. Filev·P. Neykov·G. S. Vasilev

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Abstract

We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries, present in the literature. We extend these studies to the case of time-dependent parameters. We compare numerically the semi-analytic approach and the day to day Monte Carlo approach and conclude that the semi-analytic approach is more advantageous for high precision valuation.

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V. G. Filev, P. Neykov, G. S. Vasilev. 2016-08-18. A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes. https://arxiv.org/abs/1608.05378

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