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This paper proposes a robust numerical framework for estimating the implied volatility of equity-linked securities (ELS), which are characterized by complex path-dependent features such as early redemption and knock-in barriers. By extending the classical Black-Scholes model and applying finite difference methods, we solve the pricing problem for ELS products with non-linear and discontinuous payoff structures. The proposed algorithm calibrates a constant implied volatility over the life of the product by minimizing the error between market-observed fair prices and model-generated prices using a least-squares optimization approach. Numerical experiments were conducted on real ELS contracts linked to the KOSPI 200 index, Samsung Electronics stock, and Tesla, Inc. stock. The results show that the method is applicable across different underlying assets and captures distinct volatility characteristics for each asset. For each underlying asset, implied volatilities estimated from ELS issued on different dates remain within a consistent range, demonstrating the method’s practical effectiveness in estimating ELS implied volatility.

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기사명 저자명 페이지 원문 목차
(An) algorithm for estimating implied volatility in equity-linked securities Donggwon Choi, Zhengang Li, Yunjae Nam, Junseok Kim p. 255-270
(A) modified method for the iterative method of solving systems of linear equations Nesa Najafi, Mojtaba Ghasemi Kamalvand p. 271-279
(A) practical explicit finite difference scheme for image segmentation Youngjin Hwang, Hyundong Kim, Junwon Ko, Hyunho Shin p. 280-291
Pricing power options under stochastic volatility Donghyun Kim p. 292-302
Group sparse representation-based color image restoration under mixed random-valued impulse and Gaussian noise Miyoun Jung p. 303-330
Integer and fractional order inequalities of m-superquadratic function with applications Dawood Khan, Saad Ihsan Butt, Ghulam Jallani p. 331-359
Numerical dynamics for the Allen–Cahn equation with variable mobility on curved surfaces Hyundong Kim p. 360-376
(The) Allen–Cahn equation with domain-dependent free energy Seongho Shin, Dongsun Lee p. 377-388
(An) FEM for solving the Allen–Cahn equation with a high-order potential Ke Zhang, Meiyun Nan p. 389-398
(An) efficient zero level interface preserving model with a modified conservative Allen–Cahn equation Chaeyoung Lee p. 399-410

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