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

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

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.

Suggested Citation

  • V. G. Filev & P. Neykov & G. S. Vasilev, 2016. "A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes," Papers 1608.05378, arXiv.org.
  • Handle: RePEc:arx:papers:1608.05378
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    File URL: http://arxiv.org/pdf/1608.05378
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