Structured product pricing using Monte Carlo simulations
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...
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| Format: | Final Year Project |
| Language: | English |
| Published: |
Nanyang Technological University
2021
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| Online Access: | https://hdl.handle.net/10356/146100 |
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