Can I read Flaws in Autocallable Pricing Methods on EtoBox?
Flaws in Autocallable Pricing Methods by linjinlin.fanny is a document available to read on EtoBox.
What is Flaws in Autocallable Pricing Methods about?
The document discusses the complexities of pricing autocallable structured equity products, highlighting flaws in existing pricing techniques that have been overlooked. It emphasizes the importance of understanding path dependency and the effects of stochastic local volatility models on pricing accuracy. The authors suggest that quants need to address these pricing issues by recognizing the interplay between decorrelation and bilocality effects to improve model reliability.
- Author
- linjinlin.fanny
- Language
- EN