A stochastic local volatility technique for TARN options
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DOI: 10.1080/00207160.2019.1608357
Abstract: ABSTRACT Target Accumulation Redemption Notes (TARN) are financial derivatives which give their holders the right to receive periodic coupons until the accumulated sum of those ones reaches an agreed target. In this work, we solve… read more here.
Keywords: technique tarn; local volatility; stochastic local; volatility technique ... See more keywords