Published January 15, 2023
| Version v1
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Binary Return Note Valuation
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Description
The structure of a Binary Return Note is similar to the one of a regular note, but the coupons are contingent on return rates on stocks. Quasi-Monte Carlo simulation is used for pricing the product.
Notes
https://ia904702.us.archive.org/1/items/gicGreeks/gicGreeks.pdf
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binaryReturn.pdf
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