Binary Return Note Valuation
Published in Zenodo (CERN European Organization for Nuclear Research) • Jan 15, 2023
NobleIDNI3P61W37R35S75
Authors:
David Lee
Abstract
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.
Finding related papers...
Discussions
(0)No comments yet
Be the first to share your thoughts!