<P>Trying to figure out what methodology is used to price structures like Reverse Cliquet in equity and Target Rate redemption structured notes. These note have either a high target rate of return which once reached the structured is called or a high coupon from which negative coupons are substracted till the return reached a floor like Zero.

These structures can not be priced using simple caps/ floor and returns are path dependent. Any ideas on how these are priced? </P>