Structured product pricing using Monte Carlo simulations

• Main Author: Teo, Kang Sheng
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Science::Mathematics::Applied mathematics::Simulation and modeling; Business::Finance::Derivatives
• Online Access: https://hdl.handle.net/10356/146100
• Institution: Nanyang Technological University

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...