The option to exchange one asset for another is one of the oldest and one of the most popular exotic options. In the present article, we extend the existing literature on options to Parisian exchange options, i.e. the option to exchange one asset for the other contingent on the occurrence of the...

Turbo-Zertifikate gehouml;ren derzeit zu den beliebtesten strukturierten Produkten fuuml;r Privatanleger. Sie lassen sich als Spezialformen von Barrier-Optionen auffassen. In Bezug auf das Produktdesign ist das Verhauml;ltnis von Kursschranke und Basispreis von Bedeutung. Unter Ausnutzung der...

We use S&P 500 index return data for the time period 1985–2013 to evaluate the performance of portfolio insurance strategies. We shed light on the question if the performance of a constant proportion portfolio insurance (CPPI) strategy can be improved by means of a time-varying multiplier...

<title>Abstract</title> In this paper we consider the valuation of Bermudan callable derivatives with multiple exercise rights. We present in this context a new primal--dual <italic>linear</italic> Monte Carlo algorithm that allows for efficient simulation of the lower and upper price bounds without using nested simulations...

Recently, there is a growing trend to offer guaranteed products where the investor is allowed to shift her account/investment value between multiple funds. The switching right is granted a finite number of times per year, i.e. it is American style with multiple exercise possibilities. In...

We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to unit-linked life-insurance/savings plans products and can be considered as...