Hernández, Rodrigo; Lee, Wayne; Liu, Pu; Dai, Tian-Shyr - In: Review of Quantitative Finance and Accounting 40 (2013) 4, pp. 691-713
In this paper we introduce a new financial product named Outperformance Certificates. We study the €43 billion sample by examining 1,507 issues of the certificates outstanding in August 2005 issued by banks in Europe. We present formulas to price the certificates and empirically examine the...
