The evolving art of pricing cliquets

Products with embedded cliquet options such as Accumulators and Predators are an established part of the European retail structured equities market. Cliquets have been traded for around a decade, though their pricing has always been contentious. But some dealers’ concerns have now reached a crescendo, with established players questioning the risk management of some of the less-experienced dealers that have entered the market during the past 12 months. “It appears that cliquet call spreads

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