英文标题：
《Pricing Weakly Model Dependent Barrier Products》
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作者：
Jan Kuklinski and Panagiotis Papaioannou and Kevin Tyloo
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最新提交年份：
2016
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英文摘要：
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products with an American barrier condition requires stochastic modelling. We show that for typical market parameters, this stochastic pricing problem can be systematically reduced to evaluating only one fairly simple stochastic parameter being the asymmetry of hitting the barrier. Eventually, pricing Bonus Certificates and Barrier Reverse Convertibles with an American barrier condition, shows to be dependent on stochastic modelling only within a range of $\\pm\\frac{2}{3}$ of accuracy - e.g. within this accuracy limitation we can price these products without stochastic modelling. We show that the remaining price component is weakly dependent on the stochastic models. Combining these together, we prove to have established an almost model independent pricing procedure for Bonus Certificates and Barrier Reverse-Convertible Structured Products with American barrier conditions.
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中文摘要：
我们讨论了红利证书和障碍反向可转换结构性产品的定价方法。欧洲壁垒条件下的定价对于这两种类型的产品都很简单，并且取决于观察到的市场期权定价的有效插值。定价产品我们讨论了红利证书和障碍反向可转换结构化产品的定价方法。欧洲壁垒条件下的定价对于这两种类型的产品都很简单，并且取决于观察到的市场期权定价的有效插值。美国壁垒条件下的产品定价需要随机建模。我们表明，对于典型的市场参数，这个随机定价问题可以系统地简化为只评估一个相当简单的随机参数，即击中障碍的不对称性。最终，在美国障碍条件下，奖金证书和障碍反向可转换债券的定价取决于随机建模，仅在$\\pm\\frac{2}{3}美元的精度范围内-例如，在该精度限制范围内，我们可以在不进行随机建模的情况下对这些产品进行定价。我们证明了剩余价格分量对随机模型的弱依赖性。将这些结合在一起，我们证明已经建立了一个几乎模型的独立定价程序，用于美国壁垒条件下的红利证书和壁垒反向可转换结构性产品。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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