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- Title
Autocallable Structured Products.
- Authors
GUILLAUME, TRISTAN
- Abstract
In this article, a general, flexible form of autocall-able note is analytically valued, and its payoff profile and risk-management properties are discussed. The general autocallable structure under consideration includes the following features: regular coupons, reverse-convertible provision, down-and-out American barrier, best-of mechanism, and snowball effect. These features are more or less fully addressed according to the entailed valuation difficulties. Simpler notes are easily designed and priced on the basis of this general structure. The formulas provided in this article can be expected to be a valuable tool for both buyers and issuers in terms of risk management. Indeed, they enable investors to assess their chances of early redemption as well as their expected return on investment as a function of the contract's specifications, and they allow issuers to accurately and efficiently analyze and compute their various risk exposures.
- Subjects
MATHEMATICAL models of option; INVESTMENT management; REDEMPTION of securities; INVESTMENT risk; SNOWBALL sampling; RATE of return; RISK exposure
- Publication
Journal of Derivatives, 2015, Vol 22, Issue 3, p73
- ISSN
1074-1240
- Publication type
Article
- DOI
10.3905/jod.2015.22.3.073