Closed form solution for autocalls ?

reaverprog · February 12th, 2013, 1:47 pm

Hi All,Is there a closed form solution for mono asset autocalls ? Typically a product with a discrete set of autocall dates where we pay a digital if the underlying is below 100% barrier and at maturity capital is at risk with a down and in put.Thanks

mj · February 25th, 2013, 11:48 pm

it's very unlikely you'd a get closed-form solution. You might be able to write it as a sum of multi-dimensional cumulative normals. The dimension of these would be the number of auto-call dates and so they'd be very slow to compute.