---
_id: '4561'
abstract:
- lang: eng
  text: We exploit a unique sample of structured financial products (SFPs) to analyze
    pricing and issuance dependencies among different types of such market‐linked
    investment vehicles. Our study provides evidence of cross‐pricing between products
    with complementary payoff profiles. Such dependencies may be explained by issuers’
    efforts to generate order flow for products that supplement their current SFP
    risk exposure. Additionally, we observe issuance patterns in line with the argument
    that issuers exploit the complementarity payout profiles when bringing SFPs to
    market. Our study emphasizes cross‐pricing from a perspective not previously considered
    in the literature.
article_type: original
author:
- first_name: Matthias
  full_name: Pelster, Matthias
  id: '67265'
  last_name: Pelster
  orcid: ' https://orcid.org/0000-0001-5740-2420'
- first_name: Andrea
  full_name: Schertler, Andrea
  last_name: Schertler
citation:
  ama: Pelster M, Schertler A. Pricing and issuance dependencies in SFP portfolios.
    <i>Journal of Futures Markets</i>. 2019;39(3):342-365. doi:<a href="https://doi.org/10.1002/fut.21978">10.1002/fut.21978</a>
  apa: Pelster, M., &#38; Schertler, A. (2019). Pricing and issuance dependencies
    in SFP portfolios. <i>Journal of Futures Markets</i>, <i>39</i>(3), 342–365. <a
    href="https://doi.org/10.1002/fut.21978">https://doi.org/10.1002/fut.21978</a>
  bibtex: '@article{Pelster_Schertler_2019, title={Pricing and issuance dependencies
    in SFP portfolios}, volume={39}, DOI={<a href="https://doi.org/10.1002/fut.21978">10.1002/fut.21978</a>},
    number={3}, journal={Journal of Futures Markets}, author={Pelster, Matthias and
    Schertler, Andrea}, year={2019}, pages={342–365} }'
  chicago: 'Pelster, Matthias, and Andrea Schertler. “Pricing and Issuance Dependencies
    in SFP Portfolios.” <i>Journal of Futures Markets</i> 39, no. 3 (2019): 342–65.
    <a href="https://doi.org/10.1002/fut.21978">https://doi.org/10.1002/fut.21978</a>.'
  ieee: M. Pelster and A. Schertler, “Pricing and issuance dependencies in SFP portfolios,”
    <i>Journal of Futures Markets</i>, vol. 39, no. 3, pp. 342–365, 2019.
  mla: Pelster, Matthias, and Andrea Schertler. “Pricing and Issuance Dependencies
    in SFP Portfolios.” <i>Journal of Futures Markets</i>, vol. 39, no. 3, 2019, pp.
    342–65, doi:<a href="https://doi.org/10.1002/fut.21978">10.1002/fut.21978</a>.
  short: M. Pelster, A. Schertler, Journal of Futures Markets 39 (2019) 342–365.
date_created: 2018-10-01T11:45:28Z
date_updated: 2022-01-06T07:01:10Z
ddc:
- '330'
department:
- _id: '186'
- _id: '578'
doi: 10.1002/fut.21978
file:
- access_level: closed
  content_type: application/pdf
  creator: bange
  date_created: 2019-02-06T13:06:50Z
  date_updated: 2019-02-06T13:06:50Z
  file_id: '7566'
  file_name: Pelster 2019 SFP.pdf
  file_size: 1658836
  relation: main_file
  success: 1
file_date_updated: 2019-02-06T13:06:50Z
has_accepted_license: '1'
intvolume: '        39'
issue: '3'
jel:
- G12
- G13
- G14
- G24
keyword:
- cross‐pricing
- discount certificate
- hedging
- issuance decisions
- put warrants
- structured financial products
language:
- iso: eng
page: 342-365
publication: Journal of Futures Markets
publication_status: published
status: public
title: Pricing and issuance dependencies in SFP portfolios
type: journal_article
user_id: '21810'
volume: 39
year: '2019'
...