Serving the Quantitative Finance Community
Reverse Convertible Notes
Hi, Has anyone any links to papers on pricing reverse convertible notes with a barrier. Thx
Reverse Convertible Notes
Thx for that, is it possible when valuing the down and in put to include a fixed rebate if the option has not been knocked in
Reverse Convertible Notes
Yes it is. I suggest the reading of the paper titled "Pricing European Barrier Options" by Peter W. Buchen, which is freely available on the net.
-
- cfornarola
- Posts: 4
- Joined:
Reverse Convertible Notes
Hi,how would you price and structure a Reverse Convertible with an additional feature, so that not only the 100% of the investment capital but also the cpn payment is subjected to the barrier of the down and in put being breached?Any suggestions?Does this kind of product I've described above have a different name from reverse convertible? Is it popular?Thx!C.
Reverse Convertible Notes
ur cpn is then a simple bet triggered at the barrier lvl...hope this helps.
-
- mathematalef0
- Posts: 2
- Joined:
Reverse Convertible Notes
QuoteOriginally posted by: cfornarolaHi,how would you price and structure a Reverse Convertible with an additional feature, so that not only the 100% of the investment capital but also the cpn payment is subjected to the barrier of the down and in put being breached?Any suggestions?Does this kind of product I've described above have a different name from reverse convertible? Is it popular?Thx!C.Another possible way would be to just shift the strike of your put by the coupon (i.e. instead of 100 ---->100+Coupon)