Essays about: "Auto-call"

Found 1 essay containing the word Auto-call.

  1. 1. Structured Products Modelled as Stochastic Processes

    University essay from Lunds universitet/Fysiska institutionen

    Author : Fredrik Nordin; [2013]
    Keywords : Auto-call; GBM; GARCH; Structured products; Sprinter; Physics and Astronomy;

    Abstract : In this thesis, the value of the two composed financial products (structured products), sprinters and auto-calls, are studied and compared to the European call option. The study is preformed using both analytical and numerical solutions, where the underlying is either said to follow a GBM-process (Geometric Brownian Motion) or a GARCH-process (Generalized Autoregressive Conditional Heteroskedasticity). READ MORE