An Optimization Approach for Pricing Analysis on a Bank Wealth-Management Equity Structured Product
This paper researches on the pricing and design of a certain stock-type structured product. Firstly, a semi-analytic pricing model is deduced by discounting the payoff function of the product. Secondly, the difference between publishers' and investors' required rate of return is explained...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Faculty of Mechanical Engineering in Slavonski Brod, Faculty of Electrical Engineering in Osijek, Faculty of Civil Engineering in Osijek
2023-01-01
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Series: | Tehnički Vjesnik |
Subjects: | |
Online Access: | https://hrcak.srce.hr/file/417630 |
Summary: | This paper researches on the pricing and design of a certain stock-type structured product. Firstly, a semi-analytic pricing model is deduced by discounting the payoff function of the product. Secondly, the difference between publishers' and investors' required rate of return is explained with market segmentation theory when estimating the pricing model’s parameters, which defines the cost and sale price of a product. Finally, with sensitivity analysis, it is concluded that publishers can increase their profits by extending the due date of the product or publishing it with relatively large asset volatility. The study aims to help publishers make reasonable product design and pricing decisions. |
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ISSN: | 1330-3651 1848-6339 |