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Beyond payoff diagrams: how to present risk and return characteristics of structured products

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  • Martin Wallmeier

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  • Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
    • Handle: RePEc:kap:fmktpm:v:25:y:2011:i:3:p:313-338
    DOI: 10.1007/s11408-011-0163-0
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    24. Benet, Bruce A. & Giannetti, Antoine & Pissaris, Seema, 2006. "Gains from structured product markets: The case of reverse-exchangeable securities (RES)," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 111-132, January.
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    26. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
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    Citations

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    Cited by:

    1. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1160-1182, Octubre-D.
    2. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
    3. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
    4. H. Fink & S. Geissel & J. Sass & F. T. Seifried, 2019. "Implied risk aversion: an alternative rating system for retail structured products," Review of Derivatives Research, Springer, vol. 22(3), pages 357-387, October.
    5. Ji Cao, 2017. "How does the underlying affect the risk-return profiles of structured products?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 27-47, February.
    6. Stephan Meyer & Sebastian Schroff & Christof Weinhardt, 2014. "(Un)skilled leveraged trading of retail investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 111-138, May.
    7. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1136-1159, Octubre-D.

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    More about this item

    Keywords

    Structured products; Retail derivatives; Risk measurement; Risk-return tradeoff; Investment decisions; Information tools; G11; G14; G24;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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