Pricing Autocallable Structured Products

Student: Sadov Valentin

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2021

Autocallable structured products can be treated like a portfolio, which consists of two or more instruments. The main issue with pricing such products is that in practice there is no unified method for calculating the fair value of this type of product. In this paper, the main focus is on the pricing of these products using the Monte Carlo method.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses