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What kind of structured product has the following payout?:

  • Guaranteed capital at maturity $T$
  • It pays a coupon at time $t$ equal to

    $$C_0\sum_{i=1}^{\infty}\max(S(t)/S(t-1)-1-C_1 i;0)$$

with $C_0,C_1>0$?

(The underlying S(t) can be some stock index for instance.)

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  • $\begingroup$ Your question is unclear? What are you expecting? $\endgroup$ – Daneel Olivaw Jun 2 '18 at 16:18
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    $\begingroup$ I don't know if this specific payoff has a name but, letting $C_i(t)=C_0(S(t)/S(t-1)-1-iC_1)^+$, the strip of coupons $\mathcal{C}_i = \{C_i(t): t \in [0,T]\}$ is a cliquet call option with notional $C_0$ and strike $iC_1+1$, hence the payoff is a infinite portfolio of cliquet call options with increasing strike. $\endgroup$ – Daneel Olivaw Jun 2 '18 at 16:29
  • $\begingroup$ I'm sorry if the question is unclear, it's just that the source from where I have this problem is unclear as well. But cliquet call option is something to start with. Could it be that cliquet options are advantageous in low volatility contexts? $\endgroup$ – Raskolnikov Jun 2 '18 at 16:50

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