Zheng, Chenyan and Qin, Hanxi and Han, Jiani (2025) Design and Risk Management of an S&P 500-Linked Snowball Auto-callable: A Comparative Analysis Using Monte Carlo Simulation and PDE Method. In: Proceedings of the 4th International Conference on Computing Innovation and Applied Physics, CONF-CIAP 2025, 17-23 January 2025, Eskişehir, Turkey.
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Abstract
This paper discusses the design of an S&P 500-linked Snowball Auto-callable, which
aims to enrich the derivatives market. It is essential to ensure effective risk management in light
of the increased complexity of the market during the COVID-19 crisis. Considering that options
serve as a key fina
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 18:27 |
| Last Modified: | 16 Apr 2026 21:37 |
| URI: | http://eprints.eai.eu/id/eprint/52572 |
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