---
_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.
Journal of Futures Markets. 2019;39(3):342-365. doi:10.1002/fut.21978
apa: Pelster, M., & Schertler, A. (2019). Pricing and issuance dependencies
in SFP portfolios. Journal of Futures Markets, 39(3), 342–365. https://doi.org/10.1002/fut.21978
bibtex: '@article{Pelster_Schertler_2019, title={Pricing and issuance dependencies
in SFP portfolios}, volume={39}, DOI={10.1002/fut.21978},
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.” Journal of Futures Markets 39, no. 3 (2019): 342–65.
https://doi.org/10.1002/fut.21978.'
ieee: M. Pelster and A. Schertler, “Pricing and issuance dependencies in SFP portfolios,”
Journal of Futures Markets, vol. 39, no. 3, pp. 342–365, 2019.
mla: Pelster, Matthias, and Andrea Schertler. “Pricing and Issuance Dependencies
in SFP Portfolios.” Journal of Futures Markets, vol. 39, no. 3, 2019, pp.
342–65, doi:10.1002/fut.21978.
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'
...