Eder, A. (2015). Poisson approximation for structure floors [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2015.25081
This thesis is about the approximation of the price for structure floors. The underlying structured note consists of an arbitrary number of double barrier options. For a small number of options, it's numerically shown by a Monte Carlo simulation that they fulfill a special dependency criterium. To approximate the distribution of the structured note's payoff, the Chen-Stein method is used. Using this approximation, bounds for the exact price of a structure floor are given. These results are implemented using the coding language Mathematica. With this implementation, several examples are given to illustrate the results.
