FRIES, CHRISTIAN P.; JOSHI, MARK S. - In: International Journal of Theoretical and Applied … 14 (2011) 02, pp. 197-219
In this paper, we present a generic method for the Monte-Carlo pricing of (generalized) auto-callable products (aka. trigger products), i.e., products for which the payout function features a discontinuity with a (possibly) stochastic location (the trigger) and value (the payout).The Monte-Carlo...