Equity markets

A short cut to the rainbow

Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is…

Merrill Lynch fervent on equity volatility

Merrill Lynch Global Research has launched the Merrill Lynch US Forward Equity Variance Rolling (FEVR) index, which measures the performance of a long S&P 500 volatility strategy. The index tracks volatility using a strategy designed to minimise the…

Keydata adds seventh Dynamic Growth plan and more

Keydata Investment Services has unveiled an array of new structured products. Its five-year Dynamic Growth Plan Plus issue seven offers two times any rise in the FTSE 100 index, subject to a maximum investment growth of 90%. Issue eight of the same plan…

Dividend option market tipped for growth

Dividend swaps have been under pressure since the onset of the credit crisis, as fears of dividend cuts have caused the historically steep curve to flatten considerably. But, despite gloomy economic forecasts, the investor base appears to be expanding,…

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