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Article

Valuation of Structured Products

Geng Deng, Tim Husson and Craig McCann
The Journal of Alternative Investments Spring 2014, 16 (4) 71-87; DOI: https://doi.org/10.3905/jai.2014.16.4.071
Geng Deng
is the director of research at Securities Litigation and Consulting Group in Fairfax, VA.
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  • For correspondence: gengdeng@slcg.com
Tim Husson
is a senior financial economist at Securities Litigation and Consulting Group in Fairfax, VA.
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  • For correspondence: timhusson@slcg.com
Craig McCann
is the president of Securities Litigation and Consulting Group in Fairfax, VA.
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  • For correspondence: craigmccann@slcg.com
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Abstract

The market for structured products has grown dramatically in the past decade. Their diversity and complexity have led to the development of many different valuation approaches, and it is not always clear which approach to use to value a given product. In this article the authors discuss four approaches to valuing structured products: simulation of the linked financial instrument’s future values, numerical integration, decomposition, and partial differential equation approaches. As an example, the authors use all four approaches to value a common type of structured product, and discuss the virtues and pitfalls of each.

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The Journal of Alternative Investments: 16 (4)
The Journal of Alternative Investments
Vol. 16, Issue 4
Spring 2014
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Valuation of Structured Products
Geng Deng, Tim Husson, Craig McCann
The Journal of Alternative Investments Mar 2014, 16 (4) 71-87; DOI: 10.3905/jai.2014.16.4.071

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Valuation of Structured Products
Geng Deng, Tim Husson, Craig McCann
The Journal of Alternative Investments Mar 2014, 16 (4) 71-87; DOI: 10.3905/jai.2014.16.4.071
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  • Article
    • Abstract
    • COMMON STRUCTURED PRODUCT FEATURES
    • VALUATION APPROACHES
    • COMPARISON OF VALUATION APPROACHES
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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