Structured product pricing using Monte Carlo simulations

• 主要作者: Teo, Kang Sheng
• 其他作者: PUN Chi Seng
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2021
• 主題: Science::Mathematics::Applied mathematics::Simulation and modeling; Business::Finance::Derivatives
• 在線閱讀: https://hdl.handle.net/10356/146100

The purpose of this paper is to fairly price a structured product by using Monte Carlo simulations under the risk neutral measure, and also to learn how to control the risk of the product. A structured product that is commonly offered, the Barrier Reverse Convertible, is chosen and priced in this pa...