The evolving art of pricing cliquets

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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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