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Reverse Convertible Pricing Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Corporations--Valuation, Options (Finance), Pricing
- Item Type:
- Article
- Tag(s):
- reverse convertible, asset pricing, security, valuation, valuation model
- Permanent URL:
- https://doi.org/10.17613/4g9d-7355
- Abstract:
- 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.
- Notes:
- https://hal.science/hal-03749503, https://hal.science/hal-03749503/document
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 month ago
- License:
- All-Rights-Granted
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reverseconvertible.pdf