Hybrid smiles made fast

Messaoud Chibane and Dikman Law
25 Jul 2013

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Since the late 1990s, equity-linked structured notes have become increasingly popular with retail investors, particularly in Japan. These products, such as enmansai and uridashi, provide some controlled exposure to stocks or indexes by embedding derivatives payouts with a floating rate in coupon payments. Given the dependence of option prices on forwards – and of the latter on rates – the interaction between the implied volatility smile of the underlying equities and the interest rate dynamics

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]