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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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  • Benet, Bruce A. & Giannetti, Antoine & Pissaris, Seema, 2006. "Gains from structured product markets: The case of reverse-exchangeable securities (RES)," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 111-132, January.
  • Handle: RePEc:eee:jbfina:v:30:y:2006:i:1:p:111-132
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    References listed on IDEAS

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    1. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
    2. Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C, 1989. " LDC Debt: Forgiveness, Indexation, and Investment Incentives," Journal of Finance, American Finance Association, vol. 44(5), pages 1335-1350, December.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    4. 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 637-654, May-June.
    5. 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.
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    Cited by:

    1. Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco, 2016. "Market makers’ optimal price-setting policy for exchange-traded certificates," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 206-226.
    2. repec:mje:mjejnl:v:12:y:2017:i:3:p:7-18 is not listed on IDEAS
    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. repec:bap:journl:170306 is not listed on IDEAS
    5. Chen, An & Hentschel, Felix & Klein, Jakob K., 2015. "A utility- and CPT-based comparison of life insurance contracts with guarantees," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 327-339.
    6. Schertler, Andrea, 2016. "Pricing effects when competitors arrive: The case of discount certificates in Germany," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 84-99.
    7. Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
    8. Arnold, Marc & Schuette, Dustin & Wagner, Alexander, 2014. "Neglected Risk: Evidence from Structured Product Counterparty Exposure," Working Papers on Finance 1406, University of St. Gallen, School of Finance, revised Apr 2016.
    9. repec:exl:25engi:v:28:y:2017:i:3:p:262-270 is not listed on IDEAS
    10. Ammann, Manuel & Arnold, Marc & Straumann, Simon, 2017. "Illuminating the Dark Side of Financial Innovation: The Role of Investor Information," Working Papers on Finance 1704, University of St. Gallen, School of Finance.
    11. 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.
    12. 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.
    13. Rossella Agliardi, 2016. "Reverse convertible debt under credit risk," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-13, March.
    14. Rossetto, Silvia & Bommel, Jos van, 2009. "Endless leverage certificates," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1543-1553, August.
    15. Entrop, Oliver & Fischer, Georg & McKenzie, Michael & Wilkens, Marco & Winkler, Christoph, 2016. "How does pricing affect investors’ product choice? Evidence from the market for discount certificates," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 195-215.
    16. repec:mje:mjejnl:v:13:y:2017:i:3:p:7-18 is not listed on IDEAS

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