Structured product pricing using Monte Carlo simulations

• المؤلف الرئيسي: Teo, Kang Sheng
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Science::Mathematics::Applied mathematics::Simulation and modeling; Business::Finance::Derivatives
• الوصول للمادة أونلاين: 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...