In my previous article I showed how one can use Deriscope in Excel to calculate through Monte Carlo simulation the price of a European style equity linked note that paid once at maturity an amount linked to the minimum of two equity indices observed at that time. With the current article I start a series of posts that address the valuation of ...
Structured products occupy a distinctive space in modern capital markets, sitting at the intersection of derivatives engineering, quantitative finance, and investment product design. Unlike standard financial instruments such as vanilla options, swaps, or bonds—which are typically defined by relatively simple payoff formulas and well-establish...
In my previous article I showed how one can use Deriscope in Excel to calculate the price of a particular type of a structured product that pays the minimum of two equity indices observed at some specified future terminal time. As example was used the Trigger Plus note issued by Morgan Stanley on April 1, 2019, which is based on the value of t...
The beauty of Monte Carlo simulation is that it can be used to price any European financial derivative contract, of which the terminal payoff is expressed as a function of D terminal underlying factors by simulating the terminal values of these factors as of the contract's maturity date. It turns out, the successful execution of a Monte Carlo simul...
