A Robust Pricing of Specific Structured Bonds with Coupons

The purpose of this paper is to present an innovative model to evaluate the fair price of a subset of structured products for a hypothetical US structured bond with coupons. Assuming that interest rates are described by the Cox-Ingersoll-Ross process we use an Euler-Maruyama scheme to price structured bonds. The fair value of the bond is robust under any parameter or model misspecification. In addition, a change in the price seems to be more sensitive to long-term yields rather than short-or mid-term yields. Moreover, a slight change in the current structure would have a significant effect on the bond price only during economic expansions