A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes
  We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries, present in the literature. We extend these studies to the case of time-dependent parameters. We compare numerically the semi-analytic approach and the day to day Monte Carlo approach and conclude that the semi-analytic approach is more advantageous for high precision valuation. 
V. G. Filev, P. Neykov, G. S. Vasilev
q-fin.PR