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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Pricing of Multi-Asset Reverse Convertibles |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 34 |
| Date | 2022 |
| Abstract Text | Multi-Asset Barrier Reverse Convertible (MBRC) are one of the most sold structured products in the world, especially in Switzerland where 200 billion CHF of assets are being sold per year. Some structured products can be evaluated with a close-end solution, which does not exist for MBRCs. There exist multiple methods to price MBRC and this thesis will focus on the implementation of the pricing algorithm of MBRC suggested by Lindauer and Seiz (2008). In this thesis also ceteris paribus effects of influencing parameters are measured and described. It is observed that volatility, maturity, type of the product and a barrier level have a big impact on the final price, whereas the dividend yield and risk-free rate are influencing each other in an unknown way. |
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