The Valuation of Structured Products: Empirical Findings for the Swiss Market
AbstractThis article analyses the valuation of 192 structured products without a capital guarantee. In contrast to similar studies, this investigation takes in both the primary and the secondary market. Its central element is a comparison of the implied volatilities of the options contained in the structured products with those of comparable EUREX options. Generally speaking, the results may well come as a surprise both concerning the scale of the phenomenon detected and its significance. Taken as a whole, the results provide grounds for assuming that certain inefficiencies exist on the Swiss market for structured products and that lead managers manage to exploit their quasi-monopolistic position in a rational manner. Copyright Swiss Society for Financial Market Research 2005
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 19 (2005)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=119763
structured products; implied volatility; valuation;
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