Pricing and issuance dependencies in SFP portfolios

M. Pelster, A. Schertler, Journal of Futures Markets 39 (2019) 342–365.

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Journal Article | Published | English
Author
Pelster, MatthiasLibreCat ; Schertler, Andrea
Abstract
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.
Publishing Year
Journal Title
Journal of Futures Markets
Volume
39
Issue
3
Page
342-365
LibreCat-ID

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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
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
@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} }
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.
M. Pelster and A. Schertler, “Pricing and issuance dependencies in SFP portfolios,” Journal of Futures Markets, vol. 39, no. 3, pp. 342–365, 2019.
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.
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