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The Journal of Derivatives

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Article

Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland

Martin Wallmeier and Martin Diethelm
The Journal of Derivatives Winter 2009, 17 (2) 59-72; DOI: https://doi.org/10.3905/JOD.2009.17.2.059
Martin Wallmeier
is a professor in the department of finance and accounting at the University of Fribourg in Switzerland. martin.wallmeier@unifr.ch
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Martin Diethelm
is research assistant in the department of finance and accounting at the University of Fribourg in Switzerland. martin.diethelm@unifr.ch
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The Journal of Derivatives: 17 (2)
The Journal of Derivatives
Vol. 17, Issue 2
Winter 2009
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Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland
Martin Wallmeier, Martin Diethelm
The Journal of Derivatives Nov 2009, 17 (2) 59-72; DOI: 10.3905/JOD.2009.17.2.059

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Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland
Martin Wallmeier, Martin Diethelm
The Journal of Derivatives Nov 2009, 17 (2) 59-72; DOI: 10.3905/JOD.2009.17.2.059
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  • Article
    • Abstract
    • LITERATURE REVIEW
    • VALUATION OF MULTIPLE BARRIER REVERSE CONVERTIBLES
    • HYPOTHESES
    • DATA
    • EMPIRICAL RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment Matching
  • A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random Walks
  • Editor’s Letter
Show more Article

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