One question about path dependent returns in structured notes

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<P>Trying to figure out what methodology is used to price structures like Reverse Cliquet in equity and Target Rate redemption structured notes. These note have either a high target rate of return which once reached the structured is called or a high coupon from which negative coupons are substracted till the return reached a floor like Zero.

These structures can not be priced using simple caps/ floor and returns are path dependent. Any ideas on how these are priced? </P>

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关键词：structured Structure Dependent question Returns structured question returns either simple

These structures can not be priced using simple caps/ floor and returns are path dependent. Any ideas on how these are priced?

这个问题，好象没有必要讨论，太广了，现在就我所知至少不下4种方法可用。像学任何一中，没一年下不来。
数学系有3种，计算机有一种! 自己才才看。嘿嘿!

又一个有意思的陈年贴

05年的帖子……没人对结构性票据感兴趣么？