PRIIP Valuation and Correlation analysis: SG EUR Revolução Automóvel 2018-2023

This project focuses on the pricing and valuation of multi-correlated structured products, with an emphasis on the impact of correlation on this specific type of product. This study based its analysis through the SG EUR REVOLUÇÃO AUTOMÓVEL 2018-2023 structured product issued by Société Générale. It features the product's description, highlighting the various risks incurred by issuers and investors. Then goes through the methodology employed, including the use of Black & Scholes closed-form, Monte Carlo simulation, and binomial model, to develop pricing models. The key findings showcase the significance of effectively incorporating correlation in modeling multi-correlated structured products. Furthermore, it underlines with practical scenarios the prevalence of Monte Carlo simulation among the other models to capture correlation and consequently pricing complex financial product accuracy.