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French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing

Philippe Bertrand () and Jean-Luc Prigent ()

Bankers, Markets & Investors, 2015, issue 135, 4-18

Abstract: This paper deals with the pricing of financial structured products. We examine French retail structured products, “OPCVM. Formule”, from a sample including about 650 funds. First, we detail the main characteristics of this market and propose a simplified typology of all these products. Second, we analyze some of the most common contracts with portfolio insurance, which correspond to specific portfolio profiles based on performances of given underlying assets, usually the major French or European stock indices. Using the standard Black and Scholes pricing with appropriate financial parameters, we compute the initial values of such products. Our numerical results on the fair pricing of French financial structured products agree with previous studies in other countries, for example those for the German and Swiss markets. The magnitude of mispricing lies between 2 % and 7 %.

Keywords: Portfolio Insurance; Structured Products; Option Pricing (search for similar items in EconPapers)
JEL-codes: C6 G11 G24 L10 (search for similar items in EconPapers)
Date: 2015
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Working Paper: French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing (2015)
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