Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022
exotic derivatives such as autocallables. We use quasi-Monte Carlo methods to study the pricing given the Heston LSV model …-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic … derivatives. The autocallable payoff embeds an early-redemption feature generating strong path- and model-dependency. Consequently …