Communications for Statistical Applications and Methods

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Fig. 2.

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Fig. 2. A popular autocallable payoff structure with 90-90-90-80-70-60/50 KI, 3 years of maturity, autocallable at every 6 months and annual coupon rate of 6%. S (t) denotes the price of the underlying index at time t and the total return of the underlying index at time t equals to S (t)/S (0).
Communications for Statistical Applications and Methods 2021;28:251-65 https://doi.org/10.29220/CSAM.2021.28.3.251
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