Abstract
We develop a numerical algorithm for predicting prices and Greeks of equity-linked securities (ELS) with a knock-in barrier at any time over the total time period from issue date to maturity by using Monte Carlo simulation (MCS). The ELS is one of the most important financial derivatives in Korea. In the proposed algorithm, first we calculate the probability (
Funding statement: The second author (Jian Wang) was supported by the China Scholarship Council (201808260026). The corresponding author (Junseok Kim) was supported by the Brain Korea 21 Plus (BK 21) fellowship from the Ministry of Education of Korea.
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