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2

For the next steps, you need to use $dY$ is place of $dW$ everywhere in the expression of $dS$. In fact when you replicate the payoff of a vanilla option using the underlying, it is simply because the correlation between the underlying and its tradable counterparty is equal to 1. By chance in your case the correlation between a simple transformation of $dS$ ...


3

Typically structures like this are traded as notes. They will be sold at a face value of 100%, where that is normally the combination of a zcb (ie 1y usd, say 97.5%), expected coupon (say +10%), short Knock In put (also knocked out by the autocall feature, say -8%), and some profit for the issuer (in this case, 100%-97.5%-10%+8%=0.5%). Sometimes these are ...


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