PT - JOURNAL ARTICLE AU - Geng Deng AU - Tim Husson AU - Craig McCann TI - Valuation of Structured Products AID - 10.3905/jai.2014.16.4.071 DP - 2014 Mar 31 TA - The Journal of Alternative Investments PG - 71--87 VI - 16 IP - 4 4099 - https://pm-research.com/content/16/4/71.short 4100 - https://pm-research.com/content/16/4/71.full AB - 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.TOPICS: CLOs, CDOs, and other structured credit, statistical methods