Range-Accrual termékek árazása

The range accrual note is an exotic derivative that accrues coupons when the underlier falls within a predefined range. The aim of this thesis is to give a detailed description of range accrual products written on equity underliers, including the pricing methodology and calibration process. Two mark...

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Format: Thesis
Published: 2022-05-31
Online Access:http://hdl.handle.net/10831/92082?sublib=L_200
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