Template-Type: ReDIF-Article 1.0
Author-Name: Denis V. Zuev
Author-Email: denconvert@mail.ru
Author-Workplace-Name: Department of Finance, Moscow Exchange (MICEX)
Title: Structured Derivatives: Universal Pricing Model
Abstract: The paper proposes a model of structured derivatives pricing invariant with regard to the derivative type. The model generates time evolution of the maximum close to their empirical paths. In addition the paper presents an example of pricing the structured derivative suggested by the author with two underlying assets. The proposed model looks especially promising within the context of the structured derivatives OTC market growth, high volatility of the underlying assets and the absence of a unique framework for pricing the structured derivatives that would be consistent with market practice.
Classification-JEL:
Keywords: structured derivative, Black-Scholes model; payout function, decomposition, Dynkin equation, probability density function
Journal: Finansovyj žhurnal — Financial Journal
Pages: 72-84
Issue: 4
Year: 2015
Month: August
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2015/4/statii/08.pdf
File-Format: Application/pdf 
Handle: RePEc:fru:finjrn:150408:p:72-84