Barrier options
Model-free valuation of barrier options
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
Valuation of barrier options using sequential Monte Carlo
The authors present Sequential Monte Carlo (SMC) method for pricing barrier options.
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
SG delivers accelerated growth on the FTSE 100
SG is the issuer but there is a link to four other UK institutions
FCA to probe possible conflicts in barrier options
Some buy-side firms avoid illiquid underlyings over manipulation risks
Startpoint offers lock-in and 60% barrier on FTSE basket
Basket performance is multiplied by 2.5 and returns are uncapped
Barclays offers choice of risk in Euro Stoxx 50 note
US investors can choose from protected or leveraged versions
UBS offers two-year autocallable linked to Facebook
Quarterly coupon gives 10% annual return in the absence of kickout
SG launches six-year at-risk product based on FTSE 100
Societe Generale sets barrier at 60% in income product for UK retail
Morgan Stanley offers two ways to profit on FTSE 100
Index-based product structured to limit upside and protect downside
Riskier structured products with 60% barriers could be 'shockers' of the future, says insider
Capital-at-risk products with a 60% barrier have crept into the retail market and are becoming increasingly ubiquitous. But is the extra risk they pose appropriate for retail investors?
Mariana Capital offers FTSE 100 autocall
Mariana Capital offers FTSE 100 autocall
Barclays capital-at-risk pharma note pays 9.75% in the US
Coupons and capital risk
UBS reverse convertible breaches barrier as Research In Motion shares plummet
Disappointing harvest
Unicredit offers a low barrier and a 4.75% coupon on Deutsche Bank stock
Fixed coupon for the cautious
Apple reverse convertible losses mitigated by European barrier
Taking a bite of sour Apple
Trade of the month: Range-defined products
Trade of the month: Range-defined products
Market snapshot
Market snapshot
Product performance
Product performance
UBS offers 10-year leveraged return on the Euro Stoxx 50
Long-haul leveraged return