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Gains from structured product markets: The case of reverse-exchangeable securities (RES)

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  • Benet, Bruce A.
  • Giannetti, Antoine
  • Pissaris, Seema
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4FWT40F-1/2/725dad8ee6022d90f8c5087be90b3618
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 30 (2006)
    Issue (Month): 1 (January)
    Pages: 111-132

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    Handle: RePEc:eee:jbfina:v:30:y:2006:i:1:p:111-132

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    Web page: http://www.elsevier.com/locate/jbf

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    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    2. Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1990. "LDC Debt: Forgiveness, Indexation, and Investment Incentives," NBER Working Papers 2541, National Bureau of Economic Research, Inc.
    3. Chidambaran, N. K. & Fernando, Chitru S. & Spindt, Paul A., 2001. "Credit enhancement through financial engineering: Freeport McMoRan's gold-denominated depositary shares," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 487-528, May.
    4. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    5. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
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    Cited by:
    1. Henderson, Brian J. & Pearson, Neil D., 2011. "The dark side of financial innovation: A case study of the pricing of a retail financial product," Journal of Financial Economics, Elsevier, vol. 100(2), pages 227-247, May.
    2. Arnold, Marc & Schuette, Dustin & Wagner, Alexander, . "Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products," Working Papers on Finance 1406, University of St. Gallen, School of Finance.
    3. Entrop, Oliver & Scholz, Hendrik & Wilkens, Marco, 2009. "The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 874-882, May.
    4. Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer, vol. 25(3), pages 313-338, September.
    5. Rossetto, Silvia & Bommel, Jos van, 2009. "Endless leverage certificates," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1543-1553, August.
    6. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.

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