Binary Return Note Valuation
Published in Zenodo (CERN European Organization for Nuclear Research) • Jan 15, 2023
NobleIDNI7P33W11R40S98
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.
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