文章基本信息

标题：Valuation of Certificates on a Straddle with Forward Start—Theory and Evidence
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作者：Rodrigo Hernandez ; Yinying Shao
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2014
卷号：04
期号：05
页码：341-349
DOI：10.4236/tel.2014.45045
语种：English
出版社：Scientific Research Publishing
摘要：This paper introduces a new financial product named Certificates on a Straddle with Forward Start and provides detailed descriptions of the product specifications. It shows that the payoff of a Certificate on a Straddle with Forward Start can be duplicated by the combination of long positions in call and put options on the underlying asset. A pricing formula is developed to price the certificates. A certificate issued by Credit Suisse is presented as an example to examine how well the model fits empirical data. The results show that issuing Certificates on a Straddle with Forward Start is a profitable business and the results are in line with previous studies pricing other structured products.
关键词：Straddle; Forward Start Options; Option Pricing; Structured Products; Financial Innovation