Published December 24, 2022
| Version v1
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Multiple-Underlying Capped Accumulated Return Call Option
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Description
A pricing model is presented for capped-accumulated-return-call (CARC) with multiple underlyings. At each reset date, a weighted stock price is calculated. These weighted stock prices are used to compute returns.
Notes
https://ia601500.us.archive.org/35/items/earlyStartSwap/earlyStartSwap.pdf
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MultiCarc.pdf
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(45.4 kB)
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