Published December 27, 2022
| Version v1
Presentation
Open
Capped Accumulated Return Call Valuation with Flexible Return
Creators
Description
A Monte Carlo (Monte Carlo, MC, and Quasi Monte Carlo, QMC) pricing model is presented for a new variation on the product named capped-accumulated-return-call (CARC): CARC with pick and choose the return period. User specifies the dates where equity returns are to be calculated and then used in the final payoff.
Notes
https://ia601505.us.archive.org/7/items/amortizing-floor-option/AmortizingFloorOption.pdf
Files
CarcFlexibleReturn.pdf
Files
(49.8 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:1cf6a4b09e8a78c7e44e77c0bf372207
|
49.8 kB | Preview Download |