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Keywords: Structured Derivatives
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2018) 26 (2): 153–182.
Published: 31 May 2018
..., we choose a ZCCB as a representative structured derivative and conduct a case study. Regarding the expected maturity of ZCCB, there is a need to adjust the historical expected maturity by reflecting the implied expected maturity. As a result of simulation and empirical analysis, it can be seen...
