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Quantitative Finance · Glossary

What is Autocallable?

Definition 18.1 Derivatives and Volatility · Chapter 18 — Autocallables

An autocallable is a note that redeems early, at par plus a coupon, on the first observation date on which the underlying is at or above a trigger level. If it is never called, it repays par at maturity, unless a protection barrier has been breached, in which case it repays par times the underlying’s performance.

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