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has been cited by the following article:

• TITLE: Valuation of Certificates on a Straddle with Forward Start—Theory and Evidence

  AUTHORS: Rodrigo Hernandez, Yinying Shao

  KEYWORDS: Straddle, Forward Start Options, Option Pricing, Structured Products, Financial Innovation

  JOURNAL NAME: Theoretical Economics Letters, Vol.4 No.5, June 9, 2014

  ABSTRACT: This paper introduces a new financial product named Certificates on a Straddle with Forward Start and provides detailed descriptions of the product specifications. It shows that the payoff of a Certificate on a Straddle with Forward Start can be duplicated by the combination of long positions in call and put options on the underlying asset. A pricing formula is developed to price the certificates. A certificate issued by Credit Suisse is presented as an example to examine how well the model fits empirical data. The results show that issuing Certificates on a Straddle with Forward Start is a profitable business and the results are in line with previous studies pricing other structured products.