[HTML][HTML] Modeling autocallable structured products

G Deng, J Mallett, C McCann - Journal of Derivatives & Hedge Funds, 2011 - Springer
Since first introduced in 2003, the number of autocallable structured products in the United
States has increased exponentially. The autocall feature causes the product to be redeemed …

Ex-post structured product returns: Index methodology and analysis

G Deng, T Dulaney, T Husson, CJ McCann… - Journal of …, 2015 - papers.ssrn.com
The academic and practitioner literature now includes numerous studies of the substantial
issue date mispricing of structured products but there is no large scale study of the ex-post …

A recursive method for static replication of autocallable structured products

KK Kim, DY Lim - Quantitative Finance, 2019 - Taylor & Francis
This paper discusses the problem of valuation and risk management of structured products,
which have been popular in recent financial markets. We propose a recursive method based …

[HTML][HTML] Semi closed-form pricing autocallable ELS using Brownian Bridge

M Lee, J Hong - Communications for Statistical Applications and …, 2021 - csam.or.kr
This paper discusses the pricing of autocallable structured product with knock-in (KI) feature
using the exit probability with the Brownian Bridge technique. The explicit pricing formula of …

Modeling autocallable structured products

G Deng, J Mallett, C McCann - Derivatives and Hedge Funds, 2016 - Springer
Autocallable structured products 1–2 have become increasingly common in recent years.
The first autocallable structured product on record in the United States was issued by BNP …

[HTML][HTML] Структурные продукты с полной защитой капитала на российском рынке и их маржинальность для эмитентов

МВ Ткаченко - Вестник Московского университета. Серия 6 …, 2023 - cyberleninka.ru
В исследовании впервые предпринимается попытка оценить величину скрытых
комиссий эмитентов структурных продуктов на российском рынке. Под скрытой …

[HTML][HTML] Dual directional structured products

G Deng, T Dulaney, T Husson, C McCann - Journal of Derivatives & Hedge …, 2014 - Springer
We analyze and value dual directional structured products–or simply dual directionals (DDs)–
which have been issued in large amounts since the beginning of 2012. DDs evolved out of …

Structured product based variable annuities

G Deng, T Dulaney, T Husson… - The Journal of …, 2013 - papers.ssrn.com
Recently, a new type of variable annuity has been marketed to investors which is based on
structured product-like investments instead of the mutual fund-like investments found in …

Financialization in the Structured Products Market

L Zhu - 2023 - search.proquest.com
This dissertation aims to study financialization in the structured products market. The
structured products market has been undergoing a major transformation in recent years. The …

Discount or premium? Pricing of structured products: An analysis of Chinese market

R Chen, H Zhou, C Jin, J Liu - International Review of Financial Analysis, 2020 - Elsevier
Structured products combine elementary instruments from the spot and derivative markets.
The existing evidence on mature markets shows that structured products are commonly …