Advanced search

Found 1 essay matching the above criteria.

1. 1. A pricing and performance study on auto-callable structured products

   University essay from KTH/Matematisk statistik

   Author : Fredrik Hansson; [2012]
   Keywords : Structured products; Auto-callable products; Monte-Carlo;

   Abstract : Abstract We propose an algorithm to price and analyze the performance of auto-callable structured _nancial products. The algorithm contains Monte-Carlo simulations in order to reproduce, as probable as possible, a future product. This model is then compared to other, previously presented models. READ MORE