Fachbereich 04 - Wirtschaftswissenschaftliche Fakultät
Lehrstuhl für Betriebswirtschaftslehre, insbes. Finanzierung
Empirische Kapitalmarktforschung

The Pricing of Structured Products in Germany

This research project examines the issuer pricing of structured products during the exchange trade in November 2001. The daily closing quotes of roughly 800 discount certificates and 200 reverse convertibles are compared to values based on duplication strategies using call options traded on the Eurex (European Exchange) by means of implied volatility and price deviation.

We investigate the pricing differences of all products and furthermore the differences dependent on issuer, market segment and underlying. Influences of the order flow as well as impacts of mismatching are also discussed. The study reveals significant differences in the pricing of structured products which could mostly be interpreted as being in favour of the issuing institution.

Beteiligte Wissenschaftler:

Dr. Sascha Wilkens, Dipl.-Kfm. Carsten Erner, Prof. Dr. Klaus Röder

Veröffentlichungen:

Wilkens, Sascha/Erner, Carsten/Röder, Klaus: The Pricing of Structured Products in Germany, in: The Journal of Derivatives, Vol. 11, Fall 2003, S. 55-69