most citedModelling the skew and smile of SPX and DAX index options using the Shifted Log-Normal and SABR stochastic models

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q-fin.PR2016

Pricing Weakly Model Dependent Barrier Products

Jan Kuklinski, Panagiotis Papaioannou, Kevin Tyloo

We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for produ…