A Guaranteed-Return Structured Product as an Investment Risk-Hedging Instrument in Pension Savings Plans

Hadad, Elroi; Afik, Zvika; Yosef, Rami

doi:10.2139/ssrn.4166763

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Parameter Estimate and The Results Of The Pricing Analysis 3...1

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2023

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“…Wang (2021) [22] and Hadad (2022) [23] used the same parameter estimation method in their study of structured product pricing, while Auh (2022) [24] tested the validity of such parameter estimation empirically.…”

Section: Parameter Estimate and The Results Of The Pricing Analysis 3...mentioning

confidence: 99%

An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product

2023

Teh. vjesn.

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This paper researches on the pricing and design of a certain stock-type structured product. Firstly, a semi-analytic pricing model is deduced by discounting the payoff function of the product. Secondly, the difference between publishers' and investors' required rate of return is explained with market segmentation theory when estimating the pricing model's parameters, which defines the cost and sale price of a product. Finally, with sensitivity analysis, it is concluded that publishers can increase their profits by extending the due date of the product or publishing it with relatively large asset volatility. The study aims to help publishers make reasonable product design and pricing decisions.

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Section: Parameter Estimate and The Results Of The Pricing Analysis 3...mentioning

confidence: 99%

An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product

2023

Teh. vjesn.

View full text Add to dashboard Cite

show abstract

A Guaranteed-Return Structured Product as an Investment Risk-Hedging Instrument in Pension Savings Plans

Cited by 1 publication

References 19 publications

An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product

An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product

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