03 Oct 2023
Research: volatility and OTM call returns
Standard option pricing models in finance, like the Black-Scholes model, would suggest that call returns are positive, and that call returns should be higher, the higher the strike of the option.
08 Dec 2021
Hedging structured products: the role of equity pricing models
Equity linked products remain dominant in most structured products markets around the world.
23 Jun 2021
Valuations: navigating market conditions and portfolio management
In this article, we look at the role of independent valuations in structured products to enable distributors and investors to connect the start and end points of structured products.
26 May 2021
The VIX ‘fear’ index: a justified nickname
The VIX index is a measure of implied volatility of the S&P 500 index.
01 Dec 2020
Analysis: options valuation – the performance of put options over calls
In the last part of our analysis, our goal shifted towards analysing the hedging strains faced by structured product issuers with regards to how they allocate their option budget most effectively to offer the wider barrier/buffers and higher participation rates to investors.
25 Nov 2020
Meet the ‘Greeks’: first order sensitivities
This article is the first of two pieces looking at the importance and role of ‘Greeks’ in structured products and derivatives.