On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)

Philippe Bertrand and Jean-Luc Prigent

No 2014-348, Working Papers from Department of Research, Ipag Business School

Abstract: As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institu-

Keywords: Structured financial products; portfolio insurance; Asian options; average of calls; Kappa measures. (search for similar items in EconPapers)
JEL-codes: D03 G11 G13 G21 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ias and nep-sea
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Related works:
Journal Article: On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) (2015)
Working Paper: On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) (2015)
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