RT Journal Article SR Electronic T1 Financial Engineering Applications of Forward Start Options for Structured Products with Capital Protection JF The Journal of Structured Finance FD Institutional Investor Journals SP 28 OP 39 DO 10.3905/jsf.2006.661443 VO 12 IS 3 A1 Brian A. Eales A1 Radu Tunaru YR 2006 UL https://pm-research.com/content/12/3/28.abstract AB Index-linked securities with capital protection have recently been sought by pension funds, institutional investors, hedge funds and other financial institutions looking for downside risk protection while still providing upside equity index participation. The forward start option is the core ingredient for several types of cliquet option that can be integrated into a structured product providing the desired protection of the principal invested. Risk management can be difficult for the issuer and a Monte Carlo exploration reveals some caveats. Pricing forward start options is discussed under the constant-elasticity-of-variance model and new closed formulae are obtained under the square-root process model.TOPICS: Asset-backed securities (ABS) options, statistical methods