• David Lee deposited Pricing Path Dependent Derivative Note in the group Group logo of Scholarly CommunicationScholarly Communication on Humanities Commons 7 months, 3 weeks ago

    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.