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Quantitative Finance · Glossaire

Qu'est-ce que « Protection barrier » ?

Definition 18.5 Derivatives and Volatility · Chapitre 18 — Autocallables

The protection barrier (knock-in level) is the level below which the investor’s capital is no longer protected. It is observed at maturity only (European) or continuously or daily (American), and it is set well below the initial fixing: 60% in the chapter’s example, 70% to 80% in the Chinese snowballs of 2024.

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