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Capped Accumulated Return Call Option
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Options (Finance), Options (Finance)--Valuation--Mathematical models, Capital assets pricing model, Stock exchanges
- Item Type:
- Article
- Tag(s):
- Capped Accumulated Return Call Option, option valuation, asset pricing, pricing model
- Permanent URL:
- https://hcommons.org/deposits/item/hc:59725/
- Abstract:
- A pricing model for capped-accumulated-return-call (CARC) with volatility surface is presented. Proprietary approaches to interpreting volatility surface are employed during pricing. To accelerate the convergence when low discrepancy sequences are used in Monte Carlo simulation (Quasi-Monte Carlo simulation), the Brownian Bridge Path Construction has been employed in some CARC transactions.
- Notes:
- https://www.preprints.org/manuscript/201910.0038/v1, https://www.preprints.org/manuscript/201910.0038/v1/download
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 month ago
- License:
- Attribution
carclockin.pdf