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

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.

preprint2016arXivOpen access
V. G. FilevP. NeykovG. S. Vasilev
q-fin.PR
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Open access3 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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V. G. FilevP. NeykovG. S. Vasilev

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