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ABSTRACT Target Accumulation Redemption Notes (TARN) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target.… Click to show full abstract
ABSTRACT Target Accumulation Redemption Notes (TARN) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this work, we solve a partial differential equations model for TARNs by a finite difference alternating directions method. We combine the numerical resolution with a stochastic local volatility technique and show the numerical results for a particular problem.
Keywords:
technique tarn;
local volatility;
stochastic local;
volatility technique
Journal Title: International Journal of Computer Mathematics
Year Published: 2020
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Journal Title: International Journal of Computer Mathematics
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!