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- W66391565 abstract "Express certificates form a new class of structured derivatives in Germany with dynamic growth in terms of market capitalization. They are subject to early redemption if the underlying is above strike levels at predetermined points in time. This early redemption leads to a truncation and conditioning of underlying paths and increases the complexity in the valuation of these products. Hence, no closed form pricing formulas exist to date. This paper develops a pricing formula for an efficient numeric pricing of express certificates using the truncated multivariate normal distribution and presents the main product characteristics and sensitivities." @default.
- W66391565 created "2016-06-24" @default.
- W66391565 creator A5057737803 @default.
- W66391565 date "2009-01-01" @default.
- W66391565 modified "2023-09-26" @default.
- W66391565 title "The Pricing of Derivatives When Underlying Paths are Truncated: The Case of Express Certificates in Germany" @default.
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- W66391565 doi "https://doi.org/10.2139/ssrn.1409322" @default.
- W66391565 hasPublicationYear "2009" @default.
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