Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading (The Wiley Finance Series) by Bouzoubaa Mohamed;Osseiran Adel

Author:Bouzoubaa, Mohamed;Osseiran, Adel [Bouzoubaa, Mohamed;Osseiran, Adel]
Language: eng
Format: mobi
ISBN: 9780470710067
Publisher: John Wiley and Sons
Published: 2010-03-29T18:30:00+00:00

Table 12.1 Payoff scenarios for a 3-year autocallable note on the CAC 40 index. This table is associated with the scenarios drawn in Figure 12.1.

H is called the autocall trigger or threshold. It is a predetermined level above which the autocallable structure expires and the investor receives the notional invested when the structure is a note. The threshold can be fixed during the life of the option or can be variable. In some cases, the threshold can be increasing or decreasing as time goes by.

B is the coupon trigger, also called coupon level. It is a predetermined level above which the investor receives a periodic coupon. In other words, if the underlying level observed is higher than the coupon trigger, a coupon based on the notional is paid to the investor.

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