Published January 15, 2023
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Reverse Convertible Model
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Description
The payoff of reverse convertible product involves returns on multiple assets and is conditional on hitting of continuous barriers. The Monte Carlo methodology employed by ESP is an efficient conditioning technique.
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https://ia904704.us.archive.org/21/items/exchangeable-convertible/ExchangeableConvertible.pdf
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reverseConvertible.pdf
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