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Quantitative Finance · Begrippenlijst

Wat is Participation rate?

Definition 19.5 Derivatives and Volatility · Hoofdstuk 19 — The Structured-Products Business

The participation rate of a note is the share of the underlying’s performance it pays above the protected amount, pp in 100 (protection)+100 p (ST/S0−1)+100\,(\text{protection})+100\,p\,(S_T/S_0-1)^+.

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