Structured Derivatives: Universal Pricing Model

Denis V. Zuev ()
Additional contact information
Denis V. Zuev: Department of Finance, Moscow Exchange (MICEX)

Finansovyj žhurnal — Financial Journal, 2015, issue 4, 72-84

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.

Keywords: structured derivative, Black-Scholes model; payout function, decomposition, Dynkin equation, probability density function (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nifi.ru/images/FILES/Journal/Archive/2015/4/statii/08.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:150408:p:72-84

Access Statistics for this article

Finansovyj žhurnal — Financial Journal is currently edited by Vladimir S. Nazarov

More articles in Finansovyj žhurnal — Financial Journal from Financial Research Institute, Moscow 125375, Russia Contact information at EDIRC.
Bibliographic data for series maintained by Gennady Ageev ().