RT Journal Article
SR Electronic
T1 Valuation of Structured Products
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 71
OP 87
DO 10.3905/jai.2014.16.4.071
VO 16
IS 4
A1 Geng Deng
A1 Tim Husson
A1 Craig McCann
YR 2014
UL https://pm-research.com/content/16/4/71.abstract
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