Do you have any reference to article on how to price Asian option (or Asian Tail structure) using Monte Carlo?Thanks

So, how would you price Asian Tail structure.Because, I assume the first four years are vanilla call/put and then it becomes Asian at the end. Could you give me some insights on Pricing/Risk management of it?

Interesting. So the product is really for 5 years, but averaging is only last one year. Can you tell me why would issuer do that? Is that structured such so that he does not have to worry about fluctuating delta in last year? (I assume averaging would bring down gamma).

<t>Thank you for your inputs. I am little bit confused and thinking loud here, so I apologize in advance if I mention something silly.From Dealer's perspective:If dealer is issuing Capital Protected Notes for 100 M USD. Dealer is also acting as a counterparty of investor's option positions.50% Clien...

<t>Thank you for your response.So, to generate capital protected note feature, how should I structure using put?Should I just buy the put for 3 years and enter into forward contract for 3 years for long position (I am saying from Investor point of view)??I am talking about Indian market, and due to ...

<t>Hi all,Hope everyone is doing great. I am sort of novice to structured products business and has been trying to learn more from practitioner's point of view.I am trying to understand the simplest (perhaps not so simple) of all the time: Capital Protected notes and would like to know more about th...

<t>That makes more sense. I hope that is the case. The reason I started looking at 5%, was I am working on developing products in Indian market (with 8% interest rate) and thus had a higher guess (which should not be the case, now that I think of) for interest rate.However, the brochure does not ind...

<t>True.But, I think pricing would be very high ( more than 100%), because if you finance 2.3 Calls (Long) and subtract 1 Put (Short), you would end paying a lot of premium, which can not be recouped (to bring to "N", first term of your equation) using Zero-Coupon from whatever is left. I have ran a...

<t>Thank you for your response, but I am still little confused.The brochure says 230% of rise in Index. Here is how am I making an interpretation:1.3 Call - 130% of Rise-Put - Will get you 1% decline with 1% decline in IndexNow, if the proceeds are invested in Zero Coupon bonds, you only get 130% up...

<r>Hi All,Hope everyone is doing great. I am new to this forum and has been wondering about this structured product lately. I am hoping some of you might have anexperience to help me out.I came across this product, Accelerated Growth on FTSE, which pays 230% of INdex returns if index rises than init...

<r>Hi All,Hope everyone is doing great. I am new to this forum and has been wondering about this structured product lately. I am hoping some of you might have anexperience to help me out.I came across this product, Accelerated Growth on FTSE, which pays 230% of INdex returns if index rises than init...

Which book of Wilmott are you referring to?

<t>Thank you for quick responses from both of you.I am little new to this field. I was wondering if there is anyways, I can sell "expensive" puts volatility and buy "cheap" call volatility (doing this at ATM would be similar synthetic long forward) or make a volatility arbitrage position, by selling...

<t>Hello Everyone,I found the same situation in some index options market. I found a difference of 5-6% in volatility of ATM puts and calls, and thought there could be some arbitrage. As Daveangel mentioned, I agree with the fact that forwards (or futures) in those markets are mispriced and they are...