Main category
Social Sciences (Economics)
Abstract
The payoff of reverse convertible product involves returns on multiple assets and is conditional on hitting of continuous barriers. The Monte Carlo methodology is an efficient conditioning technique. As this payoff involves continuous barriers, the expectation of this payoff can be calculated using a version of conditional Monte Carlo method. Biased upper and lower estimator bounds plus a biased price placed between these bounds.
Further reading
https://ia601500.us.archive.org/1/items/reverseConvertible/reverseConvertible.pdf
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