Abstract: The Autocallable is a strutured product which involve payment of more or less exotic coupons until a callable event. The Digital risk at each coupon payment date induces hedge difficulties. Indeed, closer to the trigger event, the trader faces hedging difficulties at each fixing between the potential rebate and the future value of the option (which maybe very different).
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 5
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