Lyon, P. (2005) Editor’s Letter: The NASD Guidance Does Seem to Suggest That Structured Products Should Be the Preserve of the Privileged Few Who Are Eligible for Options Trading. Structured Products.

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.