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Pricing Path Dependent Derivative Note
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Economics, Finance, Pricing
- Item Type:
- Article
- Tag(s):
- Deirivatives, equity linked note, path dependent valuation
- Permanent URL:
- https://doi.org/10.17613/4zep-1j98
- Abstract:
- We present a model for pricing a path-dependent, equity-linked payoff. Here a bounded price return is calculated from an underlying index at certain pre-specified dates. The total return at maturity is given by the sum of the bounded price returns above, but where a specified number of the highest of these returns are set to a cap value.
- Notes:
- https://www.mysciencework.com/publication/download/da93875046d24a89c4e7acd2eb90e21d/8483de8f779fee2b4dadf7eb9f89c55d
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 weeks ago
- License:
- Attribution
- Share this: