Valuation of Accelerated Return Note

An Accelerated Return Note (ARN) is a structured instrument that offers a potentially higher return linked to the performance of a reference entity that could be an equity, an index, or a basket of assets. The payoff depends on the performance of the underlying assets. Usually, it is capped but not floored, that means it does not offer any downside protection.

https://ia803408.us.archive.org/0/items/eq-accelerate-20/EqAccelerate-archive.pdf

Keywords

Accelerated Return Note, ARN, ARN valuation

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