Published December 27, 2022 | Version v1
Presentation Open

Capped Accumulated Return Call with Volatility Surface

Creators

Description

A pricing model for capped-accumulated-return-call (CARC) with volatility surface is presented.  Proprietary approaches to interpreting volatility surface are employed during pricing.  To accelerate the convergence when low discrepancy sequences are used in Monte Carlo simulation (Quasi-Monte Carlo simulation), the Brownian Bridge Path Construction has been employed in some CARC transactions.

Notes

https://ia601506.us.archive.org/33/items/ratchetSwap/ratchetSwap.pdf

Files

CarcVolSurface.pdf

Files (123.9 kB)

Name Size Download all
md5:e32ceebf8e2846ddd4b44720eb32a97c
123.9 kB Preview Download