IDEAS home Printed from https://ideas.repec.org/a/rbq/journl/i135p4-18.html
   My bibliography  Save this article

French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing

Author

Listed:
  • Philippe Bertrand

    (Aix-Marseille Université)

  • Jean-Luc Prigent

    (THEMA, University of Cergy-Pontoise)

Abstract

This paper deals with the pricing of financial structured products. We examine French retail structured products, “OPCVM. Formule”, from a sample including about 650 funds. First, we detail the main characteristics of this market and propose a simplified typology of all these products. Second, we analyze some of the most common contracts with portfolio insurance, which correspond to specific portfolio profiles based on performances of given underlying assets, usually the major French or European stock indices. Using the standard Black and Scholes pricing with appropriate financial parameters, we compute the initial values of such products. Our numerical results on the fair pricing of French financial structured products agree with previous studies in other countries, for example those for the German and Swiss markets. The magnitude of mispricing lies between 2 % and 7 %.

Suggested Citation

  • Philippe Bertrand & Jean-Luc Prigent, 2015. "French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing," Bankers, Markets & Investors, ESKA Publishing, issue 135, pages 4-18, March-Apr.
    • Handle: RePEc:rbq:journl:i:135:p:4-18
    as

    Download full text from publisher

    File URL: http://www.revue-banque.fr/article/french-retail-financial-structured-products-typolo
    Download Restriction: price
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
    2. Yuanshun Li & Scott Anderson & Patricia A. McGraw, 2022. "Do the Underlying Portfolios Matter? A Comparative Study of Equity-Linked Pay-at-Maturity Principal Protected Notes in Canada and the UK," JRFM, MDPI, vol. 15(10), pages 1-20, October.

    More about this item

    Keywords

    Portfolio Insurance; Structured Products; Option Pricing;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rbq:journl:i:135:p:4-18. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marise Urbano (email available below). General contact details of provider: http://www.eska.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.