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Certificates issued by famous industry names are usually made up by a combination of a fixed income instrument and some vanilla and exotic options.

I am looking for something which explains:

  • how to decompose a certificate in its derivatives instruments (e.g. "A XYZ certificate is usually made up by a zero coupon bond, a down & out Put striked ad $D$ and a vanilla Call striked at $K$);
  • some suitable pricing strategies (e.g. pricing single instruments and then sum up NPVs to obtain current NPV of certificate).

In particular, my focus would be on these types: Equity protection and Butterfly certificates.

Do you know any good source for such material? Internet offers a lot of "easy" stuff to explain how these instruments work from a purely qualitative point of view (this site, as instance), but it lacks of well organized quantitative material for pricing purposes.

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