Time‐invariant portfolio strategies in structured products with guaranteed minimum equity exposure

We introduce a new exotic option to be used within structured products address key disadvantage of standard time-invariant portfolio protection: the well-known cash-lock risk. Our approach suggests enriching framework by including threshold in allocation mechanism so that guaranteed minimum equity exposure (GMEE) is ensured at any point time. To able offer such solution still with hard capital protection, we apply an option-based structure dynamic logic as underlying. provide in-depth analysis prices options, assuming Heston–Vasicek-type financial market model, and compare our results other options products. represents interesting alternative for investors aiming downsizing protection via strategies, meanwhile being also afraid experience event triggered turmoils.