Publication: Pricing autocallables under local-stochastic volatility
Date
Date
Date
2022
Journal Article
Published version
Abstract
Abstract
Abstract
This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic derivatives. The autocallable payoff embeds an early-redemption feature generating strong path- and model-dependency. Consequently, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to match the implied volatility smile and re
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176 since deposited on 2023-01-12
Acq. date: 2025-11-13
Views
93 since deposited on 2023-01-12
Acq. date: 2025-11-13
Additional indexing
Creators (Authors)
Volume
Volume
Volume
1
Number
Number
Number
4
Page range/Item number
Page range/Item number
Page range/Item number
575
Page end
Page end
Page end
610
Item Type
Item Type
Item Type
Journal Article
In collections
Scope
Scope
Scope
Discipline-based scholarship (basic research)
Language
Language
Language
English
Publication date
Publication date
Publication date
2022-12
Date available
Date available
Date available
2023-01-12
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
2769-6715
OA Status
OA Status
OA Status
Gold
Free Access at
Free Access at
Free Access at
DOI
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
merlin-id:23101
Metrics
Downloads
176 since deposited on 2023-01-12
Acq. date: 2025-11-13
Views
93 since deposited on 2023-01-12
Acq. date: 2025-11-13
Gold Open Access
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