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Contribution Details

Type Bachelor's Thesis
Scope Discipline-based scholarship
Title Pricing of Multi-Asset Reverse Convertibles
Organization Unit
  • Georgy Astakhov
  • Markus Leippold
  • Benjamin Wilding
  • English
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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