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Recently because of some personal reason, I tried to price Snowball Autocall using MC and PDE, assuming single underlying. 12 months Snowball, Monthly autocall observations, Daily Put Down & In. Payoff: if Autocall, then 100% principal + autocall coupon if Knock in and No Autocall, then client lose because of short put if No autocall and No Knock in, ...


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The building blocks of this BRC are (assuming the most common specification, there is always variations but it's impossible to tell the details without any termsheet provided): long a zero-coupon bond short a down-and-in rainbow put on the min (worst-of), with barrier below strike usually, and either European or American exercise style The discount of the ...


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