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- W1799015044 abstract "Autocallable contingent income securities, or autocalls, are a relatively new type of structured finance security whose payout is contingent on the performance of an underlying asset and that give investors an opportunity to earn high yields in a low interest environment. We collect data on autocalls issued in the US and describe their contractual properties and the properties of their underlying assets at issuance. We find that autocalls are issued on underlying assets displaying high volatility, negative skewness and high prices. We then model a typical autocall under different assumptions about the price of the underlying asset and (i) analyze the rationale behind the characteristics of the underlying asset at issuance, and (ii) discuss valuation of autocalls in the various models. While the literature consistently finds that structured products are overpriced, we find that incorporating stochastic volatility into the pricing model can help explain some of the overpricing routinely reported in prior studies." @default.
- W1799015044 created "2016-06-24" @default.
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- W1799015044 date "2014-01-01" @default.
- W1799015044 modified "2023-09-25" @default.
- W1799015044 title "Investment Analysis of Autocallable Contingent Income Securities" @default.
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- W1799015044 doi "https://doi.org/10.2139/ssrn.2411789" @default.
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