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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
Nanyang Technological University
2021
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/146100 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |