Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)

2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)

📍Singapore, Singapore🗓️ 2-4 July 2026
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Pricing Analysis of TSLA-Linked Barrier Reverse Convertibles: A Monte Carlo Simulation Approach

Authors
Lixi Gao1, *
1School of Information Engineering, Zhongnan University of Economic and Law, Wuhan, 430073, China
*Corresponding author. Email: gaolixi99@outlook.com
Corresponding Author
Lixi Gao
Available Online 23 October 2026.
DOI
10.2991/978-94-6239-801-6_29How to use a DOI?
Keywords
Barrier Reverse Convertible Bonds; Monte Carlo Simulation; High Volatility Assets; Tesla Stock
Abstract

Barrier reverse convertible bond is a structured product that combines fixed income with embedded options, and its pricing research is of great significance to the market. Due to the high volatility of Tesla stock, it is hard for traditional pricing models to provide accurate results. This study uses Monte Carlo simulation as the pricing method to generate possible stock price paths, based on Tesla's daily trading data from January 2024 to December 2025. The results show a fair value of $712.49, a discount rate of 28.75%, a knock-in probability of 85.01%, and a probability of principal loss of 69.91%. The Delta value is 8.2391, and the Gamma value is -59.5478. The results confirm the applicability and effectiveness of Monte Carlo simulation in pricing assets with high volatility. Its path simulation can precisely address the path dependence issue of this Tesla-linked product and capture the volatility risk of the asset. This paper not only enriches the literature in the field of structured product pricing, providing a reference for the pricing of similar products, but also sets up the foundation for building better pricing models in the future.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)
Series
Advances in Economics, Business and Management Research
Publication Date
23 October 2026
ISBN
978-94-6239-801-6
ISSN
2352-5428
DOI
10.2991/978-94-6239-801-6_29How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Lixi Gao
PY  - 2026
DA  - 2026/10/23
TI  - Pricing Analysis of TSLA-Linked Barrier Reverse Convertibles: A Monte Carlo Simulation Approach
BT  - Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)
PB  - Atlantis Press
SP  - 258
EP  - 265
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-801-6_29
DO  - 10.2991/978-94-6239-801-6_29
ID  - Gao2026
ER  -