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Accurate computation of Greeks for equity-linked security (ELS) near early redemption dates

Yunjae Nam et al.

Quantitative Finance and Economics2025https://doi.org/10.3934/qfe.2025010article
AJG 1
Weight
0.37

What the paper says

This study presents a numerical method for accurately computing the option values and Greeks of equity-linked securities (ELS) near early redemption dates. The Black–Scholes (BS) equation is solved using the finite difference method (FDM), and a Dirichlet boundary condition is applied at strike prices instead of directly replacing option values above the strike price with predefined option prices. This approach improves the accuracy of option pricing, particularly in the presence of early redemption structures. The proposed method is demonstrated to be effective in computing Greeks, which are crucial for risk management and hedging strategies in ELS markets. The computational tests validate the reliability of the method in capturing the sensitivities of ELS prices to various market factors.

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https://doi.org/https://doi.org/10.3934/qfe.2025010

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@article{yunjae2025,
  title        = {{Accurate computation of Greeks for equity-linked security (ELS) near early redemption dates}},
  author       = {Yunjae Nam et al.},
  journal      = {Quantitative Finance and Economics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.3934/qfe.2025010},
}

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Accurate computation of Greeks for equity-linked security (ELS) near early redemption dates

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.