Pricing and Hedging Guaranteed Equity Securities

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Auteur
Date

25 juin 2023

Discipline
Type de document
Périmètre
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Identifiants
Source

HAL SHS (Sciences de l’Homme et de la Société)

Collection

Archives ouvertes

Organisation

Centre pour la communication scientifique directe

Licences

http://hal.archives-ouvertes.fr/licences/publicDomain/ , info:eu-repo/semantics/OpenAccess

Mots-clés En Und

Guaranteed equity security hedge ratio risk sensitivity asset pricing derivative valuation risk management JEL Classification: E44 G21 G12 G24 G32 G33 G18 G28 Guaranteed equity security hedge ratio risk sensitivity asset pricing derivative valuation risk management -fin]

Sujets proches En

Equity--Law and legislation Chancery

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David Lee, « Pricing and Hedging Guaranteed Equity Securities », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.69b24e...

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Equity-linked securities with a guaranteed return gain popularity in financial market. The contract depends on the performance of a basket of equity components averaged over a certain period, and also guarantees the investor a minimum return. This paper presents a new method for valuing the guaranteed equity-linked securities. We compute the security's price, corresponding hedge ratios, and risk sensitivities. The model appears to be accurate over a wide range of underlying security parameters, based on numerical studies.

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