The value of volatility

Market view by Robert Benson


One of the key factors in the pricing of derivative-based structured products is the cost of the embedded financial options. When option prices are high, the cost of simpler capital-protected structures tends to rise, and conversely the cost of capital-at-risk structures such as reverse convertible products tends to fall. Therefore, as option prices rise and fall, different types of products become more or less popular as their terms become more or less attractive to investors.

The cost of the em

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: