Pricing multi-asset trades – part one

Trading and pricing correlation for structured products

tim-mortimer-fvc
Tim Mortimer, Future Value Consultants

Any structured product that is linked to more than one underlying asset is affected by correlation, which describes the behaviour between two or more assets. Multi-asset structured products can be either those linked to mainstream indexes (usually two or three), or those linked to single stocks, where up to 10 or more stocks may feature in a single product. Some products combine both stocks and indexes.

The two most common types of products that feature multi-assets are worst-of autocallables an

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