Sökning: "Reverse Convertibles"

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  1. 1. Valuation of Structured Investment Products: An Empirical Study of Worst-of Barrier Reverse Convertibles in Switzerland

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Christian Ruflin; Marc Friedewald; [2008]
    Nyckelord :Derivatives; Structured products; Reverse Convertibles; Switzerland;

    Sammanfattning : The thesis examines the valuation of Worst-of Barrier Reverse Convertibles on the Swiss market. This structured product which embeds an exotic option is valued by using an option pricing model of a professional product issuer. We calculate the theoretical price of 434 products and estimate the market values under a given pricing scheme. LÄS MER